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	1.0134	2.29**
α ARCH Response to squared shocks	0.0873	3.36***
β GARCH Volatility persistence	0.9110	36.95***

γ₁	0.7886	0.11
γ₂	-0.7710	-0.08
γ₃	1.6952	0.33
γ₄	-6.9105	-1.81*
γ₅	15.5205	3.08***
γ₆	-22.8531	-3.61***
γ₇	19.9728	3.09***
γ₈	-5.7370	-0.34

V-Lab

ECP Emerging Growth Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other ECP Emerging Growth Ltd Analyses