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	1.4155	0.13
α ARCH Response to squared shocks	0.1512	0.02
β GARCH Volatility persistence	0.8488	0.09

γ₁	1.1317	0.00
γ₂	-2.0540	0.00
γ₃	0.7203	0.05
γ₄	0.3461	0.04
γ₅	-0.2979	-0.01
γ₆	0.5414	0.01
γ₇	-4.4348	-0.05
γ₈	9.8962	0.06
γ₉	-7.2409	-0.04
γ₁₀	1.5969	0.01

V-Lab

Savimex Corporation Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Savimex Corporation Analyses