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	5.0000	0.75
α ARCH Response to squared shocks	0.2169	5.02***
β GARCH Volatility persistence	0.8354	39.14***
γ leverage Additional response to negative shocks	-0.1044	-2.62***

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GMO TECH Holdings Inc Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other GMO TECH Holdings Inc Analyses