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	5.0000	1.37
α ARCH Response to squared shocks	0.0717	17.34***
β GARCH Volatility persistence	0.9094	436.14***
γ leverage Additional response to negative shocks	0.0379	4.55***

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SmartGroup Corp Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other SmartGroup Corp Ltd Analyses