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	1.2861	3.49***
α ARCH Response to squared shocks	0.2697	5.52***
β GARCH Volatility persistence	0.7022	14.28***

γ₁	-26.2561	-6.17***
γ₂	52.1160	5.70***
γ₃	-35.3481	-4.89***
γ₄	10.0306	3.36***
γ₅	-1.8696	-1.27
γ₆	2.8212	2.47**
γ₇	-2.7821	-2.54**
γ₈	1.4619	1.13

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Polight As Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Polight As Analyses