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	5.9693	3.96***
α ARCH Response to squared shocks	0.1700	9.21***
β GARCH Volatility persistence	0.7975	34.83***

γ₁	0.0646	0.41
γ₂	0.2961	1.13
γ₃	-0.7830	-4.45***
γ₄	0.7598	6.57***
γ₅	-0.5736	-5.80***
γ₆	0.3115	3.33***
γ₇	0.0348	0.38
γ₈	-0.1968	-1.79*

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Southern Province Cement Co Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Southern Province Cement Co Analyses