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	2.2636	2.21**
α ARCH Response to squared shocks	0.2196	9.88***
β GARCH Volatility persistence	0.7794	34.67***

γ₁	-0.0417	-1.78*
γ₂	0.1172	2.81***

V-Lab

Kanoria Chemicals & Indl Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Kanoria Chemicals & Indl Ltd Analyses