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	1.0283	4.56***
α ARCH Response to squared shocks	0.1566	11.51***
β GARCH Volatility persistence	0.8423	60.70***

V-Lab

Mksystem Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Mksystem Corp Analyses