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	1.22
α ARCH Response to squared shocks	0.1833	11.85***
β GARCH Volatility persistence	0.7848	119.62***
γ leverage Additional response to negative shocks	0.0636	2.88***

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Laxmi Goldorna House Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Laxmi Goldorna House Ltd Analyses