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	6.1640	0.94
α ARCH Response to squared shocks	0.9934	68.68***
β GARCH Volatility persistence	0.0000	0.00

γ₁	-0.0736	-0.30
γ₂	-0.0560	-0.16
γ₃	0.2433	0.57
γ₄	0.0960	0.21
γ₅	0.0392	0.09
γ₆	-2.2708	-2.12**

V-Lab

Acorn Capital Investment Fund Limited Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Acorn Capital Investment Fund Limited Analyses