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	1.0946	0.46
α ARCH Response to squared shocks	0.1184	0.08
β GARCH Volatility persistence	0.8816	0.63

γ₁	-0.1210	-0.55
γ₂	0.2174	0.61

V-Lab

People Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other People Co Ltd Analyses