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	2.1722	1.83*
α ARCH Response to squared shocks	0.4097	7.26***
β GARCH Volatility persistence	0.5854	11.46***

γ₁	-16.3652	-0.86
γ₂	22.8952	0.90
γ₃	-17.8555	-1.43
γ₄	27.2149	2.23**
γ₅	-28.1144	-2.26**
γ₆	28.2131	2.24**
γ₇	-45.5497	-2.18**
γ₈	60.1962	2.10**
γ₉	-48.4811	-2.04**
γ₁₀	32.9039	1.91*

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Uravi Defence and Technology Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Uravi Defence and Technology Ltd Analyses