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	0.6741	0.02
α ARCH Response to squared shocks	0.0441	0.92
β GARCH Volatility persistence	0.9671	135.33***
γ leverage Additional response to negative shocks	-0.0224	-0.38

V-Lab

Isrotel Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Isrotel Ltd Analyses