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	5.5852	3.29***
α ARCH Response to squared shocks	0.4402	9.02***
β GARCH Volatility persistence	0.5519	11.83***

γ₁	0.8167	0.79
γ₂	-1.2443	-0.75
γ₃	2.2652	1.42
γ₄	-4.9811	-2.51**
γ₅	6.7788	3.36***
γ₆	-21.1629	-3.39***
γ₇	46.3628	3.23***
γ₈	-42.2033	-3.14***
γ₉	12.8096	2.71***

V-Lab

Chitec Technology Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Chitec Technology Corp Analyses