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	0.3141	0.00
α ARCH Response to squared shocks	0.3597	0.00
β GARCH Volatility persistence	0.6403	0.00

γ₁	-37.1850	0.00
γ₂	47.6885	0.00
γ₃	-11.1659	0.00
γ₄	0.7520	0.00
γ₅	-1.5911	0.00
γ₆	-4.7417	0.00

V-Lab

Forward Science Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Forward Science Corp Analyses