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	0.8550	0.39
α ARCH Response to squared shocks	0.2082	0.05
β GARCH Volatility persistence	0.7918	0.19

V-Lab

Groundhog Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Groundhog Inc Analyses