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	0.5214	9.15***
α ARCH Response to squared shocks	0.1042	31.54***
β GARCH Volatility persistence	0.8416	409.16***
γ leverage Additional response to negative shocks	0.1084	17.63***

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Raccoon Holdings Inc Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Raccoon Holdings Inc Analyses