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	0.6494	0.48
α ARCH Response to squared shocks	0.1645	0.04
β GARCH Volatility persistence	0.8355	0.19

γ₁	-0.7649	-0.01
γ₂	3.2080	0.02
γ₃	-8.0996	-0.63
γ₄	14.0784	0.07
γ₅	-14.1349	-0.08
γ₆	7.4616	0.09
γ₇	-2.3068	-0.07
γ₈	0.5325	0.03
γ₉	0.3349	0.03
γ₁₀	-2.3878	-0.21

V-Lab

Samba Bank Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Samba Bank Ltd Analyses