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	5.0000	0.04
α ARCH Response to squared shocks	0.2224	18.01***
β GARCH Volatility persistence	0.7400	110.48***
γ leverage Additional response to negative shocks	0.0752	3.10***

V-Lab

Realpha Tech Corp Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Realpha Tech Corp Analyses