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	18.1791	2.15**
α ARCH Response to squared shocks	0.1343	9.17***
β GARCH Volatility persistence	0.8653	57.63***

γ₁	0.0441	3.99***
γ₂	-0.0829	-3.93***

V-Lab

Pan African Resources PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Pan African Resources PLC Analyses