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	1.1347
α ARCH Response to squared shocks	0.0729
β GARCH Volatility persistence	0.9271

γ₁	-1.6359
γ₂	1.7365
γ₃	0.0794
γ₄	-0.2286
γ₅	0.1108
γ₆	0.0377
γ₇	0.0349
γ₈	-0.4898
γ₉	0.0698
γ₁₀	0.8193

V-Lab

Kingsgate Consolidated Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Kingsgate Consolidated Ltd Analyses