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	5.0000	0.15
α ARCH Response to squared shocks	0.0637	7.51***
β GARCH Volatility persistence	0.9486	214.56***
γ leverage Additional response to negative shocks	-0.0247	-1.84*

V-Lab

Kilima FIC FII Suno30 Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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