How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4731	0.03
α ARCH Response to squared shocks	0.1070	0.01
β GARCH Volatility persistence	0.8930	0.08

γ₁	-0.1788	-0.03
γ₂	0.0562	0.01
γ₃	0.3545	0.04
γ₄	-0.4229	-0.06
γ₅	0.2198	0.07

V-Lab

TAT Technologies Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other TAT Technologies Ltd Analyses