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	1.0610	4.09***
α ARCH Response to squared shocks	0.1709	3.80***
β GARCH Volatility persistence	0.5520	5.19***

γ₁	-3.6071	-6.17***
γ₂	5.1966	6.40***
γ₃	-2.6416	-5.18***
γ₄	1.9977	3.32***

V-Lab

Chicago Atlantic BDC Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Chicago Atlantic BDC Inc Analyses