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	1.3147	3.02***
α ARCH Response to squared shocks	0.1435	7.56***
β GARCH Volatility persistence	0.8376	35.90***

γ₁	-0.7686	-2.00**
γ₂	1.9136	3.51***
γ₃	-2.6025	-7.66***
γ₄	1.7624	3.48***

V-Lab

Shadab Textile Mills Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Shadab Textile Mills Analyses