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	1.0888	0.03
α ARCH Response to squared shocks	0.0848	0.00
β GARCH Volatility persistence	0.9152	0.02

γ₁	-0.0566	0.00
γ₂	0.4712	0.00
γ₃	-1.4324	-0.01
γ₄	1.2719	0.00
γ₅	1.0218	0.00
γ₆	-2.3432	0.00
γ₇	1.1837	0.01
γ₈	-0.0713	0.00

V-Lab

Deep Yellow Limited Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Deep Yellow Limited Analyses