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	5.0000	4.66***
α ARCH Response to squared shocks	0.1200	24.48***
β GARCH Volatility persistence	0.8380	208.99***
γ leverage Additional response to negative shocks	0.0839	7.73***

V-Lab

Brass Corp Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Brass Corp Analyses