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	1.4808	4.96***
α ARCH Response to squared shocks	0.1597	11.93***
β GARCH Volatility persistence	0.8212	58.33***

γ₁	-0.7860	-6.97***
γ₂	1.0985	6.08***
γ₃	-0.1185	-0.92
γ₄	-0.3481	-3.11***
γ₅	0.2015	1.65*
γ₆	-0.1898	-1.49
γ₇	0.3056	2.63***
γ₈	-0.5458	-4.23***

V-Lab

TVE Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other TVE Co Ltd Analyses