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	4.7755	1.86*
α ARCH Response to squared shocks	0.1308	5.87***
β GARCH Volatility persistence	0.8601	34.96***

γ₁	0.5567	6.27***
γ₂	-1.0656	-6.62***
γ₃	0.9730	6.79***
γ₄	-0.7784	-6.76***
γ₅	0.4588	4.81***
γ₆	-0.1773	-2.28**
γ₇	0.0939	1.24
γ₈	-0.1877	-1.66*

V-Lab

Kardex Holding Ag Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Kardex Holding Ag Analyses