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	1.2803	4.38***
α ARCH Response to squared shocks	0.2398	10.23***
β GARCH Volatility persistence	0.7569	32.09***

γ₁	-0.0620	-0.57
γ₂	0.5923	2.47**

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T-Cap Securities JSC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other T-Cap Securities JSC Analyses