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	2.0497	11.18***
α ARCH Response to squared shocks	0.4060	6.04***
β GARCH Volatility persistence	0.0991	1.35

V-Lab

Sunita Tools Limited Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Sunita Tools Limited Analyses