How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9844	0.12
α ARCH Response to squared shocks	0.2241	0.02
β GARCH Volatility persistence	0.7759	0.08

γ₁	-4.0873	-0.10
γ₂	5.8645	0.16

V-Lab

Axis Consulting Corporation Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Axis Consulting Corporation Analyses