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	9.5708	2.57**
α ARCH Response to squared shocks	0.2525	6.11***
β GARCH Volatility persistence	0.7330	22.96***

γ₁	1.1608	1.86*
γ₂	-2.3779	-2.47**
γ₃	2.4646	4.21***
γ₄	-1.4754	-2.59***
γ₅	-0.3977	-0.69
γ₆	1.4378	3.11***
γ₇	-2.0203	-4.37***
γ₈	2.0504	3.62***
γ₉	-1.1765	-2.30**
γ₁₀	0.9799	2.15**

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Watawala Plantations Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Watawala Plantations Ltd Analyses