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	0.7280	11.64***
α ARCH Response to squared shocks	0.0794	4.34***
β GARCH Volatility persistence	0.8291	17.90***

γ₁	-0.7728	-14.74***
γ₂	1.2508	13.46***

V-Lab

Linc Ab Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Linc Ab Analyses