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	1.4729	1.80*
α ARCH Response to squared shocks	0.1476	3.59***
β GARCH Volatility persistence	0.8494	20.99***

γ₁	1.3699	0.58
γ₂	-2.5694	-0.67
γ₃	2.5284	1.13
γ₄	-2.1692	-1.45
γ₅	3.8803	1.37
γ₆	-11.7715	-2.12**
γ₇	18.0294	2.49**
γ₈	-13.9990	-2.55**
γ₉	6.9268	2.63***

V-Lab

Amedeo Air Four Plus Limited Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Amedeo Air Four Plus Limited Analyses