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	4.6457	2.71***
α ARCH Response to squared shocks	0.0594	4.54***
β GARCH Volatility persistence	0.8163	261.05***
γ leverage Additional response to negative shocks	0.2486	6.93***

V-Lab

Unique Optical Industrial Co Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Unique Optical Industrial Co Analyses