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	5.6056	0.80
α ARCH Response to squared shocks	0.9918	47.36***
β GARCH Volatility persistence	0.0000	0.00

γ₁	0.0485	0.04
γ₂	-0.1912	-0.09
γ₃	-0.1397	-0.08
γ₄	0.7702	0.55
γ₅	-1.2540	-1.38
γ₆	2.3098	3.13***
γ₇	-2.8076	-2.46**
γ₈	2.9572	1.77*
γ₉	-4.1293	-1.79*
γ₁₀	2.1206	0.66

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