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	1.2801	1.63
α ARCH Response to squared shocks	0.2650	7.24***
β GARCH Volatility persistence	0.6284	14.48***

γ₁	13.6921	1.20
γ₂	-22.4878	-1.47
γ₃	15.2517	2.06**
γ₄	-23.2917	-2.60***
γ₅	45.2343	3.36***
γ₆	-48.1406	-2.29**

V-Lab

Realpha Tech Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Realpha Tech Corp Analyses