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	3.3938	0.00
α ARCH Response to squared shocks	0.7079	0.00
β GARCH Volatility persistence	0.2921	0.00

γ₁	-174.7067	0.00
γ₂	222.7691	0.00
γ₃	-54.8854	0.00
γ₄	20.6187	0.00
γ₅	-22.1230	-0.06
γ₆	33.8999	0.05
γ₇	-66.4189	-0.06
γ₈	78.4812	0.04

V-Lab

Ikoma Technologies Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Ikoma Technologies Ltd Analyses