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	5.0000	2.42**
α ARCH Response to squared shocks	0.0744	5.22***
β GARCH Volatility persistence	0.8423	128.09***
γ leverage Additional response to negative shocks	0.1666	6.93***

V-Lab

Groundhog Inc Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Groundhog Inc Analyses