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	0.4747
α ARCH Response to squared shocks	0.0000
β GARCH Volatility persistence	1.0000

γ₁	-7.6681
γ₂	8.3033
γ₃	-1.6359
γ₄	3.3963
γ₅	-2.6704
γ₆	-1.7852
γ₇	11.3146
γ₈	-27.0306
γ₉	28.9695
γ₁₀	-14.8134

V-Lab

Potentially AI PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Potentially AI PLC Analyses