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	0.9797	2.18**
α ARCH Response to squared shocks	0.0839	2.94***
β GARCH Volatility persistence	0.9141	33.33***

γ₁	1.2538	0.19
γ₂	-1.5382	-0.16
γ₃	2.4719	0.49
γ₄	-8.1653	-2.03**
γ₅	17.1290	2.89***
γ₆	-23.5736	-3.22***
γ₇	18.9615	2.46**
γ₈	-4.7263	-0.23

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