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	1.0905	3.21***
α ARCH Response to squared shocks	0.2259	5.75***
β GARCH Volatility persistence	0.7323	19.20***

γ₁	0.0697	0.58
γ₂	-0.2129	-1.17
γ₃	0.5018	3.83***
γ₄	-0.6098	-3.84***
γ₅	0.2422	1.34
γ₆	0.3571	2.33**
γ₇	-0.9542	-4.54***

V-Lab

Excelsior Capital Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Excelsior Capital Ltd Analyses