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	0.6243	0.00
α ARCH Response to squared shocks	0.3490	0.00
β GARCH Volatility persistence	0.6510	0.00

γ₁	27.8321	0.00
γ₂	-61.7677	0.00
γ₃	44.5245	0.01
γ₄	-7.1767	0.00
γ₅	-19.4982	0.00
γ₆	7.5156	0.00
γ₇	50.5113	0.02
γ₈	-98.7948	-0.09
γ₉	118.5189	0.02
γ₁₀	-143.8224	-0.02

V-Lab

Standard Bank PLC/Malawi Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Standard Bank PLC/Malawi Analyses