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	0.8259	0.45
α ARCH Response to squared shocks	0.1319	0.06
β GARCH Volatility persistence	0.8681	0.38

γ₁	-0.0882	-0.37
γ₂	0.1382	0.34

V-Lab

Xnet Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Xnet Corp Analyses