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	0.6848	5.52***
α ARCH Response to squared shocks	0.2691	5.67***
β GARCH Volatility persistence	0.7306	15.36***

γ₁	-3.8686	-2.92***
γ₂	8.2656	4.14***
γ₃	-9.4163	-7.05***
γ₄	8.7897	6.35***
γ₅	-5.0494	-4.02***
γ₆	-1.8545	-0.86
γ₇	8.4277	2.06**
γ₈	-7.9978	-2.17**
γ₉	3.3073	1.88*

V-Lab

Rama Phosphates Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Rama Phosphates Ltd Analyses