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	0.9906	2.92***
α ARCH Response to squared shocks	0.1402	0.33
β GARCH Volatility persistence	0.8598	2.00**

γ₁	-0.0039	-0.02
γ₂	-0.0034	-0.02

V-Lab

VEON Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other VEON Ltd Analyses