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	5.0000	2.16**
α ARCH Response to squared shocks	0.0940	17.05***
β GARCH Volatility persistence	0.8407	205.15***
γ leverage Additional response to negative shocks	0.1305	11.89***

V-Lab

Rojukiss International Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Rojukiss International Analyses