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	1.7428	4.99***
α ARCH Response to squared shocks	0.0920	8.42***
β GARCH Volatility persistence	0.9005	76.50***

γ₁	-0.1405	-3.84***
γ₂	0.2082	3.85***
γ₃	-0.0968	-2.99***
γ₄	0.0338	1.23
γ₅	0.0105	0.34
γ₆	0.0028	0.06

V-Lab

Everforth Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Everforth Inc Analyses