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	0.7936	6.91***
α ARCH Response to squared shocks	0.0598	1.46
β GARCH Volatility persistence	0.8421	7.25***

V-Lab

Gemini Space Station Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Gemini Space Station Inc Analyses