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	0.9475	0.42
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	1.0000	1.46

V-Lab

Loive Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Loive Co Ltd Analyses