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	0.5095	0.01
α ARCH Response to squared shocks	0.2671	0.00
β GARCH Volatility persistence	0.7329	0.01

γ₁	0.0129	0.00
γ₂	2.7131	0.00
γ₃	-8.0833	0.00
γ₄	10.6545	0.04
γ₅	-8.9507	-0.03
γ₆	4.1811	0.02
γ₇	1.3741	0.03
γ₈	-4.6843	-0.02
γ₉	3.6951	0.01
γ₁₀	-0.7982	0.00

V-Lab

Hira Textile Mills Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Hira Textile Mills Ltd Analyses