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	2.92***
α ARCH Response to squared shocks	0.0999	16.32***
β GARCH Volatility persistence	0.8500	221.88***
γ leverage Additional response to negative shocks	0.1001	8.50***

V-Lab

Micreed Co Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Micreed Co Ltd Analyses