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	1.3209	4.50***
α ARCH Response to squared shocks	0.1859	7.31***
β GARCH Volatility persistence	0.8007	21.80***

γ₁	-1.8052	-3.72***
γ₂	2.8666	5.05***
γ₃	-1.5645	-3.48***

V-Lab

Megastar Foods Lim Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Megastar Foods Lim Analyses