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	0.7142	4.76***
α ARCH Response to squared shocks	0.1009	8.45***
β GARCH Volatility persistence	0.8802	57.26***

γ₁	0.1723	8.17***
γ₂	-0.3068	-7.69***

V-Lab

Attacq Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Attacq Ltd Analyses