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	0.8592	0.04
α ARCH Response to squared shocks	0.1252	0.00
β GARCH Volatility persistence	0.8748	0.02

γ₁	-1.2631	-0.42
γ₂	1.7882	0.12
γ₃	-1.4154	-0.05
γ₄	1.5853	0.05
γ₅	-0.9188	-0.04
γ₆	0.0931	0.00
γ₇	0.1310	0.00
γ₈	0.0457	0.00
γ₉	0.1225	0.01

V-Lab

Macquarie Technology Group Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Macquarie Technology Group Ltd Analyses