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	5.0000	0.34
α ARCH Response to squared shocks	0.0153	13.05***
β GARCH Volatility persistence	0.9639	518.49***
γ leverage Additional response to negative shocks	0.0416	5.43***

V-Lab

NCBA Group Plc Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other NCBA Group Plc Analyses