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	1.6356	4.00***
α ARCH Response to squared shocks	0.0678	3.84***
β GARCH Volatility persistence	0.8838	33.37***

γ₁	0.7389	0.64
γ₂	-3.3349	-1.83*
γ₃	5.1182	4.91***
γ₄	-3.6508	-6.51***
γ₅	1.8687	3.23***
γ₆	-0.8830	-1.59
γ₇	-0.4369	-0.92
γ₈	0.9217	1.69*
γ₉	-0.0109	-0.02

V-Lab

Kofola Ceskoslovensko AS Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Kofola Ceskoslovensko AS Analyses