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	1.4421	3.69***
α ARCH Response to squared shocks	0.0825	9.70***
β GARCH Volatility persistence	0.8388	127.65***
γ leverage Additional response to negative shocks	0.1545	13.88***

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M3 Technology Inc Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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