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	2.0285	2.65***
α ARCH Response to squared shocks	0.1302	10.97***
β GARCH Volatility persistence	0.8692	72.27***

γ₁	-0.0290	-0.22
γ₂	-0.2102	-1.14
γ₃	0.6672	7.35***
γ₄	-0.9687	-6.90***
γ₅	0.9252	3.62***
γ₆	-0.4545	-1.91*
γ₇	-0.0496	-0.35
γ₈	0.3541	2.80***

V-Lab

Clearfield Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Clearfield Inc Analyses