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	2.1129	5.01***
α ARCH Response to squared shocks	0.1493	17.01***
β GARCH Volatility persistence	0.8421	90.46***

γ₁	-0.0262	-2.01**
γ₂	0.0594	3.15***
γ₃	-0.0769	-5.93***
γ₄	0.1256	4.36***

V-Lab

Danto Hldgs Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Danto Hldgs Corp Analyses