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	1.7801	4.97***
α ARCH Response to squared shocks	0.0920	8.39***
β GARCH Volatility persistence	0.9002	76.14***

γ₁	-0.1371	-3.84***
γ₂	0.2041	3.86***
γ₃	-0.0960	-3.04***
γ₄	0.0331	1.25
γ₅	0.0131	0.45
γ₆	-0.0066	-0.16

V-Lab

Everforth Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Everforth Inc Analyses