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	0.8810	4.78***
α ARCH Response to squared shocks	0.2474	23.83***
β GARCH Volatility persistence	0.7520	72.64***

γ₁	-1.6442	-5.74***
γ₂	3.5630	6.01***
γ₃	-3.9389	-7.88***
γ₄	3.4249	11.57***
γ₅	-2.2027	-11.10***
γ₆	1.2138	6.61***
γ₇	-0.2163	-1.02
γ₈	-0.7017	-3.39***
γ₉	0.6703	2.85***

V-Lab

Asgent Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Asgent Inc Analyses