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	0.4458	1.45
α ARCH Response to squared shocks	0.2637	2.11**
β GARCH Volatility persistence	0.6557	7.26***

γ₁	-3.1812	-2.82***
γ₂	3.9859	2.49**
γ₃	-1.5822	-2.12**
γ₄	2.1838	4.26***
γ₅	-2.2193	-5.91***
γ₆	0.8861	2.82***
γ₇	-0.0879	-0.18

V-Lab

Molten Ventures PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Molten Ventures PLC Analyses