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	0.5774	1.54
α ARCH Response to squared shocks	0.1098	5.05***
β GARCH Volatility persistence	0.8746	47.32***

γ₁	-2.6642	-1.51
γ₂	4.2478	1.52
γ₃	-1.9748	-1.25
γ₄	0.9151	1.01
γ₅	-2.5175	-4.37***
γ₆	3.1977	7.34***
γ₇	-0.8124	-2.13**
γ₈	-0.5031	-1.56
γ₉	-0.0410	-0.15
γ₁₀	0.5224	1.35

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Trisul Sa Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Trisul Sa Analyses