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	1.6915
α ARCH Response to squared shocks	0.1691
β GARCH Volatility persistence	0.8309

γ₁	-25.5928
γ₂	40.3477
γ₃	-24.5847
γ₄	11.5312
γ₅	2.4194
γ₆	-8.0642
γ₇	6.8775
γ₈	-4.2674
γ₉	1.8126

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Big Digital Energy Inc Spline ILLIQ Liquidity Analysis

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