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	1.7151
α ARCH Response to squared shocks	0.1673
β GARCH Volatility persistence	0.8327

γ₁	-25.1350
γ₂	40.1103
γ₃	-25.2352
γ₄	12.5458
γ₅	1.3977
γ₆	-7.6706
γ₇	7.4586
γ₈	-5.6694
γ₉	3.0961

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Big Digital Energy Inc Spline ILLIQ Liquidity Analysis

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