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	0.0004	1.55
α ARCH Response to squared shocks	0.4224	4.67***
β GARCH Volatility persistence	0.4697	6.38***

γ₁	-46.9703	-3.68***
γ₂	66.2645	3.87***
γ₃	-22.2141	-1.88*
γ₄	10.1515	0.72
γ₅	-11.1690	-0.87
γ₆	1.9368	0.20
γ₇	-3.6121	-0.38
γ₈	12.5529	1.29
γ₉	-39.9745	-4.02***
γ₁₀	238.1216	21.83***

V-Lab

Semilux International Ltd -Redh Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Semilux International Ltd -Redh Analyses