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	0.1594	5.90***
α ARCH Response to squared shocks	0.0494	0.87
β GARCH Volatility persistence	0.0000	0.00

γ₁	-7.2034	-6.82***
γ₂	9.7312	4.73***
γ₃	-7.7063	-3.05***
γ₄	8.8003	3.71***
γ₅	-1.6079	-0.96
γ₆	-2.3323	-1.37
γ₇	-0.3485	-0.24
γ₈	-1.1146	-0.71
γ₉	1.6614	0.99
γ₁₀	1.0962	0.58

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Nodestream Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Nodestream Ltd Analyses