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	3.8919	4.86***
α ARCH Response to squared shocks	0.0485	14.12***
β GARCH Volatility persistence	0.8709	407.73***
γ leverage Additional response to negative shocks	0.1390	23.19***

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Phytohealth Corp Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Phytohealth Corp Analyses