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	0.7763	2.77***
α ARCH Response to squared shocks	0.1320	3.74***
β GARCH Volatility persistence	0.6797	8.52***

γ₁	-1.9100	-6.48***
γ₂	2.5881	6.47***
γ₃	-0.6909	-2.95***
γ₄	-0.0401	-0.15
γ₅	0.0405	0.12
γ₆	1.0002	2.28**
γ₇	-2.5847	-3.42***
γ₈	2.0892	2.20**
γ₉	-0.0466	-0.05

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PPHE Hotel Group Limited Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other PPHE Hotel Group Limited Analyses