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	0.6332	2.87***
α ARCH Response to squared shocks	0.1669	12.69***
β GARCH Volatility persistence	0.8296	60.00***

γ₁	-0.7501	-7.63***
γ₂	1.1586	6.80***
γ₃	-0.6630	-4.24***
γ₄	0.3828	2.67***
γ₅	-0.1694	-0.85

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