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	1.8497	0.00
α ARCH Response to squared shocks	0.3140	0.00
β GARCH Volatility persistence	0.6860	0.00

γ₁	-2.3023	0.00
γ₂	0.2159	0.00
γ₃	15.1813	0.02
γ₄	-24.9055	0.00
γ₅	15.9572	0.00
γ₆	-4.5603	0.00
γ₇	-0.8528	0.00
γ₈	2.2383	0.00
γ₉	-1.9028	-0.01
γ₁₀	2.6505	0.00

V-Lab

Prolific Technology Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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