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	28.9945	4.42***
α ARCH Response to squared shocks	0.1412	8.21***
β GARCH Volatility persistence	0.8508	53.59***

γ₁	0.9346	3.49***
γ₂	-1.2681	-3.39***
γ₃	0.6626	3.05***
γ₄	-0.5661	-1.61
γ₅	-1.7765	-2.01**
γ₆	6.0150	3.92***
γ₇	-6.2142	-4.66***
γ₈	2.6749	4.59***
γ₉	-0.8907	-2.56**

V-Lab

Cosco Capital Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Cosco Capital Inc Analyses