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	1.3406	2.65***
α ARCH Response to squared shocks	0.1729	9.45***
β GARCH Volatility persistence	0.8247	44.57***

γ₁	-1.1676	-2.05**
γ₂	1.8449	2.49**
γ₃	-0.8868	-2.71***
γ₄	-1.2917	-2.32**

V-Lab

United Distributors PAK Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other United Distributors PAK Ltd Analyses