How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4363	3.38***
α ARCH Response to squared shocks	0.1994	12.76***
β GARCH Volatility persistence	0.7984	47.41***

V-Lab

Nextgen Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Nextgen Inc Analyses