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	42.1541
α ARCH Response to squared shocks	0.2246
β GARCH Volatility persistence	0.7754

γ₁	-4.7261
γ₂	8.1657
γ₃	-5.0985
γ₄	1.7394
γ₅	0.6767
γ₆	-5.9190
γ₇	12.7116
γ₈	-12.8280

V-Lab

Mannai Corp QSC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Mannai Corp QSC Analyses