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	2.1776	3.80***
α ARCH Response to squared shocks	0.2749	7.50***
β GARCH Volatility persistence	0.6665	17.47***

γ₁	-1.5112	-3.97***
γ₂	1.9814	3.68***
γ₃	-0.1328	-0.38
γ₄	0.0608	0.18
γ₅	-0.2514	-0.50

V-Lab

Vaishali Pharma Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Vaishali Pharma Ltd Analyses