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	2.1228	3.84***
α ARCH Response to squared shocks	0.4178	2.75***
β GARCH Volatility persistence	0.0424	0.29

V-Lab

Pngs Reva Diamond Jewellery Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Pngs Reva Diamond Jewellery Ltd Analyses