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	11.8501	4.21***
α ARCH Response to squared shocks	0.5400	43.39***
β GARCH Volatility persistence	0.4529	50.52***

γ₁	-0.1466	-0.32
γ₂	-0.2066	-0.37
γ₃	1.1520	4.26***
γ₄	-1.4137	-3.67***
γ₅	-15.6021	-4.30***
γ₆	52.8094	4.83***
γ₇	-65.9589	-5.81***
γ₈	45.0266	10.03***
γ₉	-22.2793	-9.35***
γ₁₀	6.7636	3.07***

V-Lab

Singer Bangladesh Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Singer Bangladesh Ltd Analyses