How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8006	8.01***
α ARCH Response to squared shocks	0.1575	4.33***
β GARCH Volatility persistence	0.7351	10.66***

γ₁	-2.0158	-4.75***
γ₂	4.5132	4.57***

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Dive Group Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Dive Group Inc Analyses