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	0.2181	6.02***
α ARCH Response to squared shocks	0.0543	27.47***
β GARCH Volatility persistence	0.9204	659.32***
γ leverage Additional response to negative shocks	0.0506	18.43***

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Monolithic Power Systems Inc Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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