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	0.3140	3.89***
α ARCH Response to squared shocks	0.2593	8.51***
β GARCH Volatility persistence	0.7390	24.11***

γ₁	-3.5512	-0.60
γ₂	8.8397	0.91
γ₃	-7.8006	-1.25
γ₄	4.7459	1.13
γ₅	-4.2129	-0.96
γ₆	3.7000	0.74
γ₇	-1.9987	-0.41
γ₈	-9.3086	-1.81*
γ₉	40.4070	3.96***
γ₁₀	-71.7150	-3.11***

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Inter Pharma Public Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Inter Pharma Public Co Ltd Analyses