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	2.2686	2.14**
α ARCH Response to squared shocks	0.5659	6.82***
β GARCH Volatility persistence	0.3326	4.62***

γ₁	-15.4630	-1.78*
γ₂	22.9308	1.90*
γ₃	-25.1638	-3.75***
γ₄	28.4704	4.92***
γ₅	-6.6261	-1.11
γ₆	-2.5223	-0.27

V-Lab

MIDWEST ENERGY Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other MIDWEST ENERGY Ltd Analyses