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	5.0000	0.12
α ARCH Response to squared shocks	0.0668	8.50***
β GARCH Volatility persistence	0.9343	385.60***
γ leverage Additional response to negative shocks	-0.0021	-0.17

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Perpetual Equity Investment Company Limited Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

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