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	1.7439	4.11***
α ARCH Response to squared shocks	0.0455	7.46***
β GARCH Volatility persistence	0.9489	122.71***

γ₁	-0.0665	-1.81*
γ₂	0.0932	1.67*
γ₃	0.0286	0.62
γ₄	-0.2584	-4.14***

V-Lab

CFC Stanbic Holdings Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other CFC Stanbic Holdings Ltd Analyses