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	1.0281	4.29***
α ARCH Response to squared shocks	0.3265	8.61***
β GARCH Volatility persistence	0.5772	12.32***

γ₁	-2.6152	-4.62***
γ₂	4.3983	5.41***
γ₃	-3.6063	-7.15***
γ₄	3.2698	6.03***
γ₅	-1.9431	-2.38**

V-Lab

Sonam Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Sonam Ltd Analyses