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	1.1662	2.59***
α ARCH Response to squared shocks	0.2515	20.59***
β GARCH Volatility persistence	0.7483	61.11***

γ₁	0.4785	1.40
γ₂	-2.1984	-3.15***
γ₃	4.0689	5.30***
γ₄	-4.0625	-6.47***
γ₅	2.5658	7.94***
γ₆	-0.9865	-3.11***

V-Lab

Abalance Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Abalance Corp Analyses