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	1.4047	1.89*
α ARCH Response to squared shocks	0.3336	5.13***
β GARCH Volatility persistence	0.6506	13.91***

γ₁	-0.6425	-2.17**
γ₂	1.4455	2.58***

V-Lab

Pakistan Aluminium Beverage Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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