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	0.4037	0.00
α ARCH Response to squared shocks	0.2458	0.00
β GARCH Volatility persistence	0.7542	0.00

γ₁	13.5427	0.00
γ₂	-47.8009	0.00
γ₃	63.2991	0.00
γ₄	-35.8178	0.00
γ₅	3.6559	0.00
γ₆	5.2920	0.00
γ₇	-1.9862	0.00
γ₈	-0.9473	0.00
γ₉	1.9240	0.00

V-Lab

D P Wires Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other D P Wires Ltd Analyses