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	6.9649	2.71***
α ARCH Response to squared shocks	0.3609	8.61***
β GARCH Volatility persistence	0.6355	15.92***

γ₁	0.2559	5.18***
γ₂	-0.4562	-5.18***
γ₃	0.6105	4.84***
γ₄	-0.9341	-3.97***

V-Lab

Usmania Glass Sheet Factory Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Usmania Glass Sheet Factory Analyses