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	3.15***
α ARCH Response to squared shocks	0.1429	12.50***
β GARCH Volatility persistence	0.8402	114.78***
γ leverage Additional response to negative shocks	0.0339	2.81***

V-Lab

Basilic FLY Studio Limited Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Basilic FLY Studio Limited Analyses