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	1.0630	0.03
α ARCH Response to squared shocks	0.1754	0.00
β GARCH Volatility persistence	0.8246	0.01

γ₁	-0.5386	0.00
γ₂	-0.9816	0.00
γ₃	2.6861	0.01
γ₄	-3.0241	-0.01
γ₅	4.6834	0.14
γ₆	-5.3507	-0.02
γ₇	4.5153	0.01
γ₈	-3.2818	-0.01
γ₉	2.2171	0.05
γ₁₀	-2.1196	-0.01

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Universal Tech Sys Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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