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	0.6915	0.07
α ARCH Response to squared shocks	0.2657	0.01
β GARCH Volatility persistence	0.7343	0.03

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Hatch Work Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Hatch Work Co Ltd Analyses