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	0.5368	4.11***
α ARCH Response to squared shocks	0.2584	1.46
β GARCH Volatility persistence	0.0000	0.00

γ₁	63.1911	2.52**
γ₂	-157.0438	-4.84***
γ₃	166.1086	5.21***
γ₄	-145.6103	-2.14**

V-Lab

Systematic Industries Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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