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	0.4064	4.16***
α ARCH Response to squared shocks	0.1019	1.97**
β GARCH Volatility persistence	0.2198	1.22

γ₁	-1.0952	-1.69*
γ₂	1.5329	1.59
γ₃	-0.8658	-1.41
γ₄	0.8877	1.74*
γ₅	-1.4871	-2.66***
γ₆	3.3593	3.90***
γ₇	-4.3523	-3.91***
γ₈	1.8343	1.90*
γ₉	1.6477	1.41

V-Lab

Sandon Capital Investments Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Sandon Capital Investments Ltd Analyses