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	1.0043	0.95
α ARCH Response to squared shocks	0.1806	0.05
β GARCH Volatility persistence	0.8194	0.24

γ₁	-1.2250	-0.03
γ₂	1.7704	0.04
γ₃	-1.5482	-0.22
γ₄	2.3302	0.53
γ₅	-2.5646	-0.50
γ₆	2.1570	0.44
γ₇	-1.2493	-0.24

V-Lab

Sea & Land Integrated Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Sea & Land Integrated Corp Analyses