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	0.5864	0.02
α ARCH Response to squared shocks	0.1545	0.00
β GARCH Volatility persistence	0.8455	0.02

γ₁	1.0410	0.00
γ₂	-2.6365	0.00
γ₃	2.4945	0.09
γ₄	-1.3333	-0.04
γ₅	0.8906	0.05
γ₆	-0.9485	-0.55
γ₇	0.7158	0.04
γ₈	-0.6674	-0.04
γ₉	1.1632	0.19

V-Lab

Nations Trust Bank Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Nations Trust Bank Ltd Analyses