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	0.5060	3.85***
α ARCH Response to squared shocks	0.4914	5.24***
β GARCH Volatility persistence	0.3582	7.35***

γ₁	-0.4107	-0.57
γ₂	-0.4887	-0.37
γ₃	1.9274	1.48
γ₄	-2.2725	-2.04**
γ₅	3.0829	3.92***
γ₆	-4.6591	-4.12***
γ₇	4.6475	4.92***
γ₈	-2.2992	-4.33***
γ₉	1.3401	3.78***
γ₁₀	-3.5584	-8.56***

V-Lab

Pradeep Metals Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Pradeep Metals Analyses