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	1.0842	3.25***
α ARCH Response to squared shocks	0.2252	5.76***
β GARCH Volatility persistence	0.7323	19.21***

γ₁	0.0694	0.58
γ₂	-0.2119	-1.17
γ₃	0.5014	3.86***
γ₄	-0.6126	-3.88***
γ₅	0.2491	1.37
γ₆	0.3509	2.27**
γ₇	-0.9666	-4.85***

V-Lab

Excelsior Capital Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Excelsior Capital Ltd Analyses