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	1.5035	2.57**
α ARCH Response to squared shocks	0.2029	9.25***
β GARCH Volatility persistence	0.7923	37.22***

γ₁	-1.0398	-8.03***
γ₂	1.5637	8.05***
γ₃	-0.6600	-4.45***
γ₄	0.3024	1.90*
γ₅	-0.7220	-2.50**

V-Lab

Kse Ltd. Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Kse Ltd. Analyses