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	0.9782	0.05
α ARCH Response to squared shocks	0.1282	0.00
β GARCH Volatility persistence	0.8717	0.01

γ₁	0.6231	0.02
γ₂	-1.3649	-0.03
γ₃	1.1809	1.04
γ₄	-1.5350	-0.11
γ₅	2.3442	0.10
γ₆	-1.7911	-0.02

V-Lab

Petrolimex Intl Trading Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Petrolimex Intl Trading Analyses