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	3.9316	1.85*
α ARCH Response to squared shocks	0.0269	6.81***
β GARCH Volatility persistence	0.9206	425.05***
γ leverage Additional response to negative shocks	0.1049	11.93***

V-Lab

AGNT Inc Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other AGNT Inc Analyses