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	0.6096	2.02**
α ARCH Response to squared shocks	0.1724	5.34***
β GARCH Volatility persistence	0.6940	14.10***

γ₁	-1.4019	-0.50
γ₂	-2.2006	-0.48
γ₃	7.5217	2.37**
γ₄	-5.5293	-2.81***
γ₅	2.5571	2.08**
γ₆	-2.1353	-1.90*
γ₇	1.9925	2.03**
γ₈	-2.0980	-2.17**
γ₉	2.2166	2.15**
γ₁₀	-0.4478	-0.43

V-Lab

Isrotel Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Isrotel Ltd Analyses