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	0.6658	2.64***
α ARCH Response to squared shocks	0.1989	6.91***
β GARCH Volatility persistence	0.7737	22.91***

γ₁	-0.5813	-0.92
γ₂	-0.5624	-0.58
γ₃	2.5288	4.09***
γ₄	-1.9455	-4.48***
γ₅	0.5577	1.23
γ₆	0.0709	0.17
γ₇	-0.2413	-0.62
γ₈	-0.6749	-0.68
γ₉	3.5038	1.82*
γ₁₀	-5.4867	-2.55**

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Ramkamhaeng Hospital Pcl Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Ramkamhaeng Hospital Pcl Analyses