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	1.7606	7.35***
α ARCH Response to squared shocks	0.1028	12.20***
β GARCH Volatility persistence	0.8725	87.63***

γ₁	-0.0665	-4.98***
γ₂	0.1263	6.22***
γ₃	-0.1195	-8.29***
γ₄	0.1153	8.00***
γ₅	-0.1282	-6.87***

V-Lab

L1 Global Long Short Fund Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other L1 Global Long Short Fund Ltd Analyses