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	2.0910	5.61***
α ARCH Response to squared shocks	0.1292	2.26**
β GARCH Volatility persistence	0.7069	4.77***

γ₁	0.1575	0.91
γ₂	-0.2901	-1.00
γ₃	0.3561	1.34
γ₄	-0.3735	-1.17
γ₅	0.1850	0.59
γ₆	-0.3188	-1.24
γ₇	0.9960	4.67***
γ₈	-1.4352	-5.91***
γ₉	1.2199	3.99***

V-Lab

Marlin Global Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Marlin Global Ltd Analyses