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	0.02
α ARCH Response to squared shocks	0.0585	0.21
β GARCH Volatility persistence	0.8365	2.87***
γ leverage Additional response to negative shocks	0.2099	0.09

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Lolc Finance Plc Asymmetric ILLIQ Liquidity Analysis

Date Range:

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Illiquidity Forecast

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