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	1.0087	5.03***
α ARCH Response to squared shocks	0.1251	11.50***
β GARCH Volatility persistence	0.8701	80.33***

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Information Planning Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Information Planning Co Ltd Analyses