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	1.0165	4.26***
α ARCH Response to squared shocks	0.2383	18.68***
β GARCH Volatility persistence	0.7612	58.49***

γ₁	-1.5205	-2.44**
γ₂	2.5817	3.21***
γ₃	-1.3577	-5.40***
γ₄	-0.1071	-0.72
γ₅	0.8024	5.26***
γ₆	-0.6515	-3.79***
γ₇	0.5418	3.23***
γ₈	-0.4199	-2.12**
γ₉	-0.1668	-0.51

V-Lab

Triis Incorporated Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Triis Incorporated Analyses