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	0.9286	6.36***
α ARCH Response to squared shocks	0.1113	0.34
β GARCH Volatility persistence	0.8887	2.72***

V-Lab

Iba - Ion Beam Applications Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Iba - Ion Beam Applications Analyses