How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5731	6.58***
α ARCH Response to squared shocks	0.4360	5.53***
β GARCH Volatility persistence	0.2553	2.48**

γ₁	4.0843	4.77***
γ₂	-10.5393	-6.15***

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INNEOVA Holdings Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other INNEOVA Holdings Ltd Analyses