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	0.98
α ARCH Response to squared shocks	0.0696	14.23***
β GARCH Volatility persistence	0.9265	360.93***
γ leverage Additional response to negative shocks	0.0078	0.96

V-Lab

Linc Ab Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Linc Ab Analyses