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	0.8190	5.56***
α ARCH Response to squared shocks	0.0588	2.75***
β GARCH Volatility persistence	0.8067	11.64***

γ₁	0.3403	0.94
γ₂	-1.5823	-2.95***
γ₃	2.1124	5.86***
γ₄	-1.0157	-3.24***
γ₅	0.3249	0.93
γ₆	-0.3921	-0.96
γ₇	-0.3137	-0.83
γ₈	1.5284	3.70***

V-Lab

Caverton Offshore Support Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Caverton Offshore Support Analyses