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	1.5520	11.30***
α ARCH Response to squared shocks	0.1045	6.38***
β GARCH Volatility persistence	0.8425	36.17***

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Perpetual Equity Investment Company Limited Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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