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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	0.3274	1.40
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.6308	1.05

γ₁	21.7683	0.12
γ₂	-4.4259	-0.02
γ₃	-201.0632	-0.92
γ₄	413.6954	2.21**
γ₅	-63.4567	-0.32
γ₆	-636.8528	-2.24**
γ₇	665.7085	1.88*

V-Lab

Regentis Biomaterials Ltd Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Regentis Biomaterials Ltd Analyses