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	0.6367	3.58***
α ARCH Response to squared shocks	0.2378	6.23***
β GARCH Volatility persistence	0.6969	17.64***

γ₁	-3.3965	-2.54**
γ₂	5.5069	2.51**
γ₃	-6.5601	-3.50***
γ₄	7.7281	4.49***
γ₅	-2.8181	-2.26**
γ₆	-0.6523	-0.66
γ₇	-0.3566	-0.30
γ₈	0.0184	0.02
γ₉	2.0967	1.95*

V-Lab

Racura Oncology Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Racura Oncology Ltd Analyses