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	1.6921	3.35***
α ARCH Response to squared shocks	0.1698	5.91***
β GARCH Volatility persistence	0.8186	27.73***

γ₁	-5.8482	-4.42***
γ₂	8.6793	2.91***
γ₃	-2.3275	-0.83
γ₄	-2.5776	-1.59
γ₅	4.2712	4.06***
γ₆	-4.8362	-5.07***
γ₇	4.8739	3.78***
γ₈	-3.0751	-0.99

V-Lab

Ching Chan Optical Techno Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Ching Chan Optical Techno Analyses