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	1.2457	3.59***
α ARCH Response to squared shocks	0.1741	10.70***
β GARCH Volatility persistence	0.8234	61.46***

γ₁	0.0748	0.50
γ₂	-0.2349	-1.30
γ₃	0.3316	2.74***
γ₄	-0.3455	-2.20**
γ₅	0.2541	1.79*
γ₆	-0.0738	-0.84
γ₇	-0.0306	-0.54
γ₈	0.0639	0.81

V-Lab

Hong Leong Financial Group Bhd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Hong Leong Financial Group Bhd Analyses