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	2.5900	4.00***
α ARCH Response to squared shocks	0.4455	2.98***
β GARCH Volatility persistence	0.4483	5.12***

γ₁	-1.3968	-1.54
γ₂	3.8155	2.23**

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Laekna Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Laekna Inc Analyses