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	1.5497	11.24***
α ARCH Response to squared shocks	0.1042	6.34***
β GARCH Volatility persistence	0.8432	36.52***

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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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