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	1.1534	3.38***
α ARCH Response to squared shocks	0.1391	10.74***
β GARCH Volatility persistence	0.8301	50.83***

γ₁	-0.6428	-8.31***
γ₂	0.8978	7.02***
γ₃	-0.2827	-3.04***
γ₄	0.0379	0.55
γ₅	-0.0065	-0.12
γ₆	0.0234	0.50
γ₇	-0.1976	-4.46***
γ₈	0.3222	7.43***
γ₉	-0.1472	-2.37**

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Turkiye Sise ve Cam Fabrikalari AS Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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