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	3.0079	3.33***
α ARCH Response to squared shocks	0.0422	10.41***
β GARCH Volatility persistence	0.9461	333.72***
γ leverage Additional response to negative shocks	0.0233	2.39**

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Ramkamhaeng Hospital Pcl Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Ramkamhaeng Hospital Pcl Analyses