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	2.0284	4.41***
α ARCH Response to squared shocks	0.1404	16.09***
β GARCH Volatility persistence	0.8569	101.65***

γ₁	-0.1980	-2.28**
γ₂	0.2163	1.70*
γ₃	-0.4764	-3.13***
γ₄	1.4493	5.40***
γ₅	-1.7250	-5.74***
γ₆	1.1333	4.31***
γ₇	-0.6673	-3.93***
γ₈	0.2866	1.81*

V-Lab

Lifeway Foods Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Lifeway Foods Inc Analyses