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	0.5182	3.40***
α ARCH Response to squared shocks	0.2753	7.95***
β GARCH Volatility persistence	0.6808	15.42***

γ₁	-0.8301	-0.32
γ₂	1.3953	0.32
γ₃	-1.1982	-0.34
γ₄	0.2131	0.05
γ₅	7.8186	1.34
γ₆	-26.5746	-3.85***
γ₇	35.2383	6.40***
γ₈	-20.1445	-5.80***
γ₉	3.4511	0.87
γ₁₀	-1.0510	-0.16

V-Lab

Manomay TEX India Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Manomay TEX India Ltd Analyses