How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.1168	0.60
β GARCH Volatility persistence	0.9324	10.74***
γ leverage Additional response to negative shocks	-0.0985	-0.45
λ₁ tau intercept Baseline long-term coefficient	983,077.1000

V-Lab

Rabbit Holdings PCL ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Rabbit Holdings PCL Analyses