How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5726	4.90***
α ARCH Response to squared shocks	0.3106	3.65***
β GARCH Volatility persistence	0.5549	4.87***

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Optivalue TEK Consulting Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Optivalue TEK Consulting Ltd Analyses