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	1.9765	2.54**
α ARCH Response to squared shocks	0.1180	10.92***
β GARCH Volatility persistence	0.8758	68.97***

γ₁	-0.1209	-0.97
γ₂	0.2058	1.06
γ₃	-0.1352	-1.04
γ₄	0.1156	0.84

V-Lab

Oxford Lane Capital Corp. Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Oxford Lane Capital Corp. Analyses