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	1.8203	5.73***
α ARCH Response to squared shocks	0.2024	4.97***
β GARCH Volatility persistence	0.7066	11.69***

γ₁	-1.1046	-3.56***
γ₂	3.0142	4.84***

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