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	0.7035
α ARCH Response to squared shocks	0.1183
β GARCH Volatility persistence	0.8817

γ₁	-0.6064
γ₂	1.1173

V-Lab

AGNT Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other AGNT Inc Analyses