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	1.0616	4.78***
α ARCH Response to squared shocks	0.1797	14.01***
β GARCH Volatility persistence	0.8098	57.57***

γ₁	-0.1693	-10.77***
γ₂	0.2808	11.16***
γ₃	-0.1337	-4.84***

V-Lab

Crops Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Crops Corp Analyses