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	0.6809
α ARCH Response to squared shocks	0.1244
β GARCH Volatility persistence	0.8756

γ₁	-1.6737
γ₂	2.2298
γ₃	-0.5119
γ₄	0.0193

V-Lab

AGNT Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other AGNT Inc Analyses