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	1.5744	1.37
α ARCH Response to squared shocks	0.1863	5.39***
β GARCH Volatility persistence	0.8133	25.22***

γ₁	-3.2095	-0.43
γ₂	11.2330	1.15
γ₃	-17.7850	-3.13***
γ₄	18.6929	3.43***
γ₅	-13.9680	-3.63***
γ₆	6.5003	3.97***
γ₇	-2.1697	-4.81***
γ₈	1.0621	3.49***
γ₉	-0.4865	-1.73*

V-Lab

Majestic Auto Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Majestic Auto Ltd Analyses