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	1.2586	3.61***
α ARCH Response to squared shocks	0.1391	4.53***
β GARCH Volatility persistence	0.8608	27.85***

γ₁	-1.8519	-1.16
γ₂	2.1307	0.91
γ₃	1.5401	0.94
γ₄	-8.6672	-3.37***
γ₅	16.5246	3.91***
γ₆	-15.4095	-3.90***
γ₇	5.3657	2.80***
γ₈	1.6437	0.68
γ₉	1.3768	0.52
γ₁₀	-4.8923	-1.01

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Tokyo Cement Co (Lanka) Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Tokyo Cement Co (Lanka) Ltd Analyses