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	2.6392	15.01***
α ARCH Response to squared shocks	0.0841	30.53***
β GARCH Volatility persistence	0.9152	648.60***
γ leverage Additional response to negative shocks	0.0015	0.36

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Bull-Dog Sauce Co Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Bull-Dog Sauce Co Ltd Analyses