How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9972	1.58
α ARCH Response to squared shocks	0.0532	5.69***
β GARCH Volatility persistence	0.9419	66.64***

V-Lab

Vietnam Enterprise Investments Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Vietnam Enterprise Investments Ltd Analyses