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	0.7586	2.05**
α ARCH Response to squared shocks	0.2175	7.83***
β GARCH Volatility persistence	0.7327	28.38***

γ₁	-3.2746	-4.49***
γ₂	6.3807	5.44***
γ₃	-5.6708	-5.84***
γ₄	3.0866	4.29***
γ₅	-0.0704	-0.14
γ₆	-0.0567	-0.14
γ₇	-1.5843	-3.67***

V-Lab

Talbros Engineering Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Talbros Engineering Ltd Analyses