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	1.7740	2.64***
α ARCH Response to squared shocks	0.0873	3.62***
β GARCH Volatility persistence	0.8990	39.85***

γ₁	0.0239	0.69
γ₂	-0.1025	-1.70*
γ₃	0.1033	1.63

V-Lab

Southern Cross Electrical Engineering Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Southern Cross Electrical Engineering Ltd Analyses