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	2.7133	3.48***
α ARCH Response to squared shocks	0.2538	8.00***
β GARCH Volatility persistence	0.7316	29.33***

γ₁	-0.2150	-0.18
γ₂	0.9284	0.57
γ₃	-2.0033	-1.71*
γ₄	3.4549	3.03***
γ₅	-5.1469	-5.79***
γ₆	3.5268	3.81***
γ₇	3.2878	2.52**
γ₈	-12.2072	-8.74***
γ₉	18.4223	12.37***
γ₁₀	-15.8048	-9.19***

V-Lab

Vietnam BDC Construction Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Vietnam BDC Construction Analyses