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	2.0890	2.10**
α ARCH Response to squared shocks	0.2138	19.27***
β GARCH Volatility persistence	0.7857	69.61***

γ₁	0.3710	0.84
γ₂	-2.1923	-2.79***
γ₃	5.0610	5.23***
γ₄	-5.9466	-6.30***
γ₅	3.9039	7.34***
γ₆	-1.4187	-4.53***
γ₇	0.1728	0.59
γ₈	0.0592	0.24
γ₉	-0.8224	-1.94*
γ₁₀	2.6199	3.01***

V-Lab

eMagin Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other eMagin Corp Analyses