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	1.7558	7.35***
α ARCH Response to squared shocks	0.1030	12.18***
β GARCH Volatility persistence	0.8720	87.16***

γ₁	-0.0668	-5.01***
γ₂	0.1270	6.27***
γ₃	-0.1202	-8.37***
γ₄	0.1157	8.09***
γ₅	-0.1282	-6.88***

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