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	0.6997	2.14**
α ARCH Response to squared shocks	0.3592	0.31
β GARCH Volatility persistence	0.6407	0.55

γ₁	-0.0109	0.00
γ₂	-2.8075	-0.72
γ₃	3.9902	1.72*
γ₄	-1.4610	-0.85
γ₅	0.4976	0.38
γ₆	-1.8296	-1.95*
γ₇	3.4796	3.29***
γ₈	-2.1355	-1.36
γ₉	0.2508	0.13
γ₁₀	0.6610	0.27

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Lolc Finance Plc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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