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	0.6434	3.43***
α ARCH Response to squared shocks	0.0955	6.40***
β GARCH Volatility persistence	0.8915	52.51***

γ₁	0.1224	0.71
γ₂	-0.5041	-2.02**
γ₃	0.6923	6.33***
γ₄	-0.4433	-4.16***
γ₅	0.1555	1.47
γ₆	-0.1506	-1.16

V-Lab

C.N. Transelectrica S.A. Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other C.N. Transelectrica S.A. Analyses