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	0.6265	4.64***
α ARCH Response to squared shocks	0.2146	11.40***
β GARCH Volatility persistence	0.7743	39.47***

γ₁	-0.1619	-4.17***
γ₂	0.3286	4.74***

V-Lab

Brass Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Brass Corp Analyses