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	1.0898	3.21***
α ARCH Response to squared shocks	0.2255	5.75***
β GARCH Volatility persistence	0.7326	19.26***

γ₁	0.0699	0.58
γ₂	-0.2131	-1.17
γ₃	0.5021	3.83***
γ₄	-0.6105	-3.84***
γ₅	0.2438	1.35
γ₆	0.3538	2.31**
γ₇	-0.9463	-4.40***

V-Lab

Excelsior Capital Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Excelsior Capital Ltd Analyses