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	1.1759	4.74***
α ARCH Response to squared shocks	0.2364	10.64***
β GARCH Volatility persistence	0.7472	29.49***

γ₁	-0.3653	-0.81
γ₂	0.3122	0.44
γ₃	0.7090	1.45
γ₄	-5.0970	-2.63***
γ₅	12.8434	2.34**
γ₆	-13.9282	-2.43**
γ₇	6.9353	3.41***
γ₈	-2.2236	-2.13**
γ₉	1.4242	0.97
γ₁₀	-0.2280	-0.16

V-Lab

Naseej International Trading Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Naseej International Trading Analyses