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	0.7776	3.02***
α ARCH Response to squared shocks	0.1142	6.80***
β GARCH Volatility persistence	0.8525	308.10***
γ leverage Additional response to negative shocks	0.0488	1.54

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Reliance Infrastructure Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

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