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	2.1041	5.60***
α ARCH Response to squared shocks	0.1311	2.27**
β GARCH Volatility persistence	0.7064	4.78***

γ₁	0.1608	0.93
γ₂	-0.2953	-1.03
γ₃	0.3596	1.37
γ₄	-0.3767	-1.19
γ₅	0.1797	0.57
γ₆	-0.2915	-1.13
γ₇	0.9549	4.52***
γ₈	-1.4091	-5.84***
γ₉	1.1924	3.85***

V-Lab

Marlin Global Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Marlin Global Ltd Analyses