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	0.4253	1.98**
α ARCH Response to squared shocks	0.3159	7.35***
β GARCH Volatility persistence	0.6769	15.71***

γ₁	-8.6450	-1.99**
γ₂	12.1924	1.80*
γ₃	-11.8439	-2.91***
γ₄	12.5595	4.47***
γ₅	-3.9545	-1.11
γ₆	4.6078	1.13
γ₇	-9.5861	-3.18***
γ₈	4.6737	1.69*
γ₉	-3.8601	-0.85
γ₁₀	15.8208	1.96**

V-Lab

Pt Charnic Capital Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Pt Charnic Capital Analyses