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	4.1314	0.00
α ARCH Response to squared shocks	0.2478	0.00
β GARCH Volatility persistence	0.7522	0.00

γ₁	-1.2294	0.00
γ₂	0.4687	0.00
γ₃	2.2223	0.00
γ₄	-3.2104	0.00
γ₅	2.9404	0.00
γ₆	-1.0684	-0.01
γ₇	-1.3782	0.00
γ₈	3.3921	0.01

V-Lab

Access Engineering Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Access Engineering Ltd Analyses