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	0.8607	5.26***
α ARCH Response to squared shocks	0.1370	9.20***
β GARCH Volatility persistence	0.8309	45.52***

γ₁	-0.1444	-1.47
γ₂	0.3178	1.93*
γ₃	-0.4170	-3.23***
γ₄	0.5041	4.36***
γ₅	-0.6878	-5.26***
γ₆	0.9241	8.15***
γ₇	-0.8389	-10.74***
γ₈	0.5968	7.80***
γ₉	-0.4293	-5.36***
γ₁₀	0.3209	2.52**

V-Lab

SAN Miguel Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other SAN Miguel Corp Analyses