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	0.4127	0.00
α ARCH Response to squared shocks	0.1176	0.00
β GARCH Volatility persistence	0.8824	0.01

γ₁	1.4351	0.00
γ₂	-3.0831	0.00
γ₃	1.8863	0.06
γ₄	-1.5024	-0.02
γ₅	3.6291	0.01
γ₆	-3.0230	-0.01
γ₇	-0.4627	0.00
γ₈	1.9149	0.19
γ₉	0.0966	0.00

V-Lab

Vietnam Sun Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Vietnam Sun Corp Analyses