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	0.0011	1.57
α ARCH Response to squared shocks	0.4140	4.57***
β GARCH Volatility persistence	0.4853	6.56***

γ₁	-46.7724	-3.64***
γ₂	65.5849	3.79***
γ₃	-21.1247	-1.71*
γ₄	8.8698	0.61
γ₅	-9.6075	-0.75
γ₆	1.0316	0.11
γ₇	-4.7554	-0.49
γ₈	16.3387	1.62
γ₉	-54.4231	-5.16***
γ₁₀	246.8667	12.90***

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Semilux International Ltd -Redh Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Semilux International Ltd -Redh Analyses