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	1.7431	2.85***
α ARCH Response to squared shocks	0.0595	5.01***
β GARCH Volatility persistence	0.9393	108.04***

γ₁	0.0851	0.25
γ₂	-0.2168	-0.60
γ₃	0.0886	0.62
γ₄	0.1487	1.05
γ₅	-0.1015	-0.61
γ₆	-0.0292	-0.16
γ₇	0.0858	0.46
γ₈	-0.4340	-1.85*

V-Lab

NCBA Group Plc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other NCBA Group Plc Analyses