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	0.0147	0.04
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.9994	0.21

γ₁	-2,575.5779	-0.18
γ₂	3,404.5276	0.74
γ₃	-1,114.6883	-0.42
γ₄	450.3828	0.23
γ₅	-88.9313	-0.07
γ₆	-257.5428	-0.28
γ₇	427.7420	0.56

V-Lab

Pasqal Holding SA Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Pasqal Holding SA Analyses