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	2.2453	5.22***
α ARCH Response to squared shocks	0.2955	1.81*
β GARCH Volatility persistence	0.1611	0.86

γ₁	17.7972	4.56***
γ₂	-27.2403	-3.25***

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GMO TECH Holdings Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other GMO TECH Holdings Inc Analyses