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	0.9607	2.85***
α ARCH Response to squared shocks	0.1419	0.24
β GARCH Volatility persistence	0.8581	1.44

V-Lab

Polyplex (Thailand) Pcl Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Polyplex (Thailand) Pcl Analyses