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	1.3758	3.82***
α ARCH Response to squared shocks	0.1878	9.17***
β GARCH Volatility persistence	0.8008	38.18***

γ₁	0.1401	0.39
γ₂	0.3655	0.69
γ₃	-1.4195	-2.55**
γ₄	1.1444	1.58
γ₅	0.6207	0.98
γ₆	-3.2237	-5.08***
γ₇	5.6187	4.81***
γ₈	-7.0405	-4.49***
γ₉	8.9498	5.04***

V-Lab

Grp Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Grp Ltd Analyses