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	3.2317	0.00
α ARCH Response to squared shocks	0.2398	0.00
β GARCH Volatility persistence	0.7602	0.00

γ₁	-1.6780	0.00
γ₂	-0.2181	0.00
γ₃	1.9832	0.00
γ₄	3.0187	0.00
γ₅	-10.5801	-0.07
γ₆	15.7994	0.05
γ₇	-13.4877	-0.08
γ₈	8.5630	0.02
γ₉	-8.2015	-0.09
γ₁₀	7.4487	0.02

V-Lab

Shuz Tung Machinery Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Shuz Tung Machinery Analyses