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	0.4072	4.16***
α ARCH Response to squared shocks	0.1024	1.98**
β GARCH Volatility persistence	0.2365	1.29

γ₁	-1.0902	-1.69*
γ₂	1.5270	1.59
γ₃	-0.8647	-1.41
γ₄	0.8801	1.73*
γ₅	-1.4583	-2.61***
γ₆	3.3406	3.82***
γ₇	-4.4437	-3.83***
γ₈	2.0743	1.98**
γ₉	1.2948	1.07

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