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	1.3677	3.81***
α ARCH Response to squared shocks	0.1845	9.09***
β GARCH Volatility persistence	0.8027	38.67***

γ₁	0.1495	0.44
γ₂	0.3759	0.72
γ₃	-1.4336	-2.47**
γ₄	1.0830	1.47
γ₅	0.7785	1.22
γ₆	-3.4680	-5.19***
γ₇	5.8457	4.68***
γ₈	-6.7946	-4.26***
γ₉	7.7876	4.68***

V-Lab

Grp Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Grp Ltd Analyses