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	0.6295
α ARCH Response to squared shocks	0.3907
β GARCH Volatility persistence	0.6093

γ₁	-5.0431
γ₂	7.5089
γ₃	-6.5440
γ₄	8.8801
γ₅	-7.3972
γ₆	-2.5053
γ₇	8.8712
γ₈	4.2510
γ₉	-17.0961

V-Lab

U Y Fincorp Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other U Y Fincorp Ltd Analyses