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	0.7935	0.13
α ARCH Response to squared shocks	0.1519	0.01
β GARCH Volatility persistence	0.8481	0.08

γ₁	-0.1909	-2.11**
γ₂	0.3077	5.47***
γ₃	-0.2218	-1.17

V-Lab

Kogi Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Kogi Corp Analyses