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	1.4042	0.46
α ARCH Response to squared shocks	0.3224	0.37
β GARCH Volatility persistence	0.6775	0.77

γ₁	-0.5825	-0.02
γ₂	-4.5959	-0.14
γ₃	9.5035	0.79
γ₄	-9.0954	-1.20
γ₅	9.4059	1.48
γ₆	-6.9620	-1.38
γ₇	7.3503	1.47
γ₈	-7.1847	-1.02
γ₉	-4.0873	-0.51
γ₁₀	15.1328	1.76*

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American Battery Tech Comp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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