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	5.0000	0.19
α ARCH Response to squared shocks	0.0374	0.93
β GARCH Volatility persistence	0.9744	447.37***
γ leverage Additional response to negative shocks	-0.0235	-0.49

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Tokyo Cement Co (Lanka) Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

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