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	1.4417	5.41***
α ARCH Response to squared shocks	0.1020	12.48***
β GARCH Volatility persistence	0.8941	105.00***

V-Lab

Bull-Dog Sauce Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Bull-Dog Sauce Co Ltd Analyses