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	0.1258	0.55
α ARCH Response to squared shocks	0.2910	2.21**
β GARCH Volatility persistence	0.6508	6.31***

γ₁	-6.1101	-0.83
γ₂	10.6937	1.08
γ₃	-9.2929	-2.15**
γ₄	13.7118	2.60***
γ₅	-22.2644	-2.54**
γ₆	18.1074	1.81*
γ₇	-5.7909	-0.70
γ₈	5.4119	0.85
γ₉	-9.3549	-1.61
γ₁₀	1.7760	0.26

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Pacific Lime and Cement Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Pacific Lime and Cement Ltd Analyses