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	0.6145	7.05***
α ARCH Response to squared shocks	0.2123	4.13***
β GARCH Volatility persistence	0.7259	14.62***

V-Lab

Basilic FLY Studio Limited Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Basilic FLY Studio Limited Analyses