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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	1.9491	10.37***
α ARCH Response to squared shocks	0.0663	47.70***
β GARCH Volatility persistence	0.9990	435.67***
ν DF Student-t tail thickness	3.4723	34.88***

V-Lab

Grab Holdings Limited GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Grab Holdings Limited Analyses