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	0.8527	8.09***
α ARCH Response to squared shocks	0.1277	6.52***
β GARCH Volatility persistence	0.7583	19.32***

γ₁	-0.4790	-1.50
γ₂	0.6267	1.14
γ₃	-0.7744	-1.96*
γ₄	1.4801	5.00***
γ₅	-1.4740	-4.94***
γ₆	1.1121	3.55***
γ₇	-0.8097	-3.22***
γ₈	0.4429	2.28**
γ₉	-0.1941	-1.25
γ₁₀	-0.3524	-1.40

V-Lab

S.N.T.G.N. Transgaz S.A. Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other S.N.T.G.N. Transgaz S.A. Analyses