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	4.6030	7.98***
α ARCH Response to squared shocks	0.0723	21.12***
β GARCH Volatility persistence	0.9032	500.41***
γ leverage Additional response to negative shocks	0.0489	7.84***

V-Lab

TVE Co Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other TVE Co Ltd Analyses