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	0.9261	3.12***
α ARCH Response to squared shocks	0.1410	10.30***
β GARCH Volatility persistence	0.8235	47.03***

γ₁	-0.7845	-7.74***
γ₂	1.0557	6.45***
γ₃	-0.3238	-2.69***
γ₄	0.1313	1.49
γ₅	-0.1516	-2.18**
γ₆	0.1607	2.31**
γ₇	-0.1554	-2.32**
γ₈	-0.0782	-1.24
γ₉	0.3585	5.75***
γ₁₀	-0.2890	-3.84***

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Turkiye Sise ve Cam Fabrikalari AS Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Turkiye Sise ve Cam Fabrikalari AS Analyses