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	1.3664	0.13
α ARCH Response to squared shocks	0.2967	0.03
β GARCH Volatility persistence	0.7033	0.07

V-Lab

Realpha Tech Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Realpha Tech Corp Analyses