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	5.9170	3.31***
α ARCH Response to squared shocks	0.2530	7.27***
β GARCH Volatility persistence	0.7403	21.50***

γ₁	0.3454	0.66
γ₂	-0.6351	-0.78
γ₃	0.5722	1.21
γ₄	-0.9647	-3.50***
γ₅	1.7123	5.14***
γ₆	-3.1146	-5.42***
γ₇	5.0344	5.21***
γ₈	-4.8370	-5.55***
γ₉	2.8047	5.66***
γ₁₀	-1.6460	-4.31***

V-Lab

Ta Ann Holdings Bhd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Ta Ann Holdings Bhd Analyses