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	1.7977	5.66***
α ARCH Response to squared shocks	0.2059	4.98***
β GARCH Volatility persistence	0.7048	11.53***

γ₁	-1.1695	-3.70***
γ₂	3.0291	4.68***

V-Lab

Kandarp Digi Smart BPO Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Kandarp Digi Smart BPO Ltd Analyses