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	0.9858	5.78***
α ARCH Response to squared shocks	0.2171	19.47***
β GARCH Volatility persistence	0.7823	70.16***

γ₁	-0.0573	-5.71***
γ₂	0.1198	7.40***

V-Lab

Dawn Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Dawn Corp Analyses