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	4.35***
α ARCH Response to squared shocks	0.0937	19.97***
β GARCH Volatility persistence	0.8545	325.27***
γ leverage Additional response to negative shocks	0.0929	11.82***

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Ufo Moviez India Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Ufo Moviez India Ltd Analyses