How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	0.32
α ARCH Response to squared shocks	0.1231	11.44***
β GARCH Volatility persistence	0.7934	112.34***
γ leverage Additional response to negative shocks	0.1671	5.35***

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Hira Textile Mills Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Hira Textile Mills Ltd Analyses