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	0.4083	4.16***
α ARCH Response to squared shocks	0.1031	1.98**
β GARCH Volatility persistence	0.2578	1.39

γ₁	-1.0858	-1.69*
γ₂	1.5219	1.59
γ₃	-0.8637	-1.41
γ₄	0.8717	1.72*
γ₅	-1.4254	-2.56**
γ₆	3.3121	3.74***
γ₇	-4.5205	-3.77***
γ₈	2.3083	2.05**
γ₉	0.8797	0.70

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