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	0.6545	3.10***
α ARCH Response to squared shocks	0.1638	12.90***
β GARCH Volatility persistence	0.8332	62.67***

γ₁	-0.7659	-7.37***
γ₂	1.1913	6.57***
γ₃	-0.6950	-4.19***
γ₄	0.4223	2.84***
γ₅	-0.2976	-1.64

V-Lab

System Location Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other System Location Co Ltd Analyses