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	1.0628	0.10
α ARCH Response to squared shocks	0.2358	0.00
β GARCH Volatility persistence	0.7642	0.00

γ₁	-5.8516	0.00
γ₂	29.3663	0.00
γ₃	-48.3353	0.00
γ₄	30.3262	0.00
γ₅	0.1552	0.00
γ₆	-9.1863	0.00
γ₇	4.5014	0.00
γ₈	-7.0905	0.00
γ₉	13.5715	0.00
γ₁₀	-9.6232	0.00

V-Lab

Yen Bai Industry Mineral Jsc Spline ILLIQ Liquidity Analysis

Date Range:

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