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	0.6173	3.47***
α ARCH Response to squared shocks	0.2033	4.41***
β GARCH Volatility persistence	0.6680	8.47***

γ₁	-6.5195	-4.77***
γ₂	8.4222	4.24***
γ₃	-3.7794	-2.53**
γ₄	4.5386	2.21**
γ₅	-7.6706	-1.48

V-Lab

Pashupati Cotspin Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Pashupati Cotspin Ltd Analyses