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	0.8126	1.10
α ARCH Response to squared shocks	0.1121	0.11
β GARCH Volatility persistence	0.8879	0.90

γ₁	0.1200	0.02
γ₂	-0.3511	-0.12
γ₃	0.2208	0.02
γ₄	0.3986	0.14
γ₅	-0.6607	-0.61
γ₆	0.0453	0.08
γ₇	0.4934	0.63
γ₈	-0.3324	-0.27

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Turkiye Is Bankasi As Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Turkiye Is Bankasi As Analyses