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	2.26**
α ARCH Response to squared shocks	0.0976	14.66***
β GARCH Volatility persistence	0.8549	194.26***
γ leverage Additional response to negative shocks	0.0949	9.46***

V-Lab

Alue Co Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Alue Co Ltd Analyses