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	1.0174	3.87***
α ARCH Response to squared shocks	0.1692	3.77***
β GARCH Volatility persistence	0.5764	5.84***

γ₁	-3.8754	-5.92***
γ₂	5.4295	5.98***
γ₃	-2.3491	-4.07***
γ₄	1.1481	1.78*

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