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	0.9877	5.77***
α ARCH Response to squared shocks	0.2169	19.50***
β GARCH Volatility persistence	0.7825	70.32***

γ₁	-0.0567	-5.73***
γ₂	0.1191	7.46***

V-Lab

Dawn Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Dawn Corp Analyses