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	0.16
α ARCH Response to squared shocks	0.0152	1.79*
β GARCH Volatility persistence	0.9519	78.27***
γ leverage Additional response to negative shocks	0.0656	3.49***

V-Lab

Anya Polytech & Fertilizers Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Anya Polytech & Fertilizers Analyses