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	0.3823	0.00
α ARCH Response to squared shocks	0.2512	0.00
β GARCH Volatility persistence	0.7487	0.00

γ₁	0.2737	0.00
γ₂	-0.4884	0.00
γ₃	0.5686	0.00
γ₄	-0.7999	0.00
γ₅	0.3688	0.00
γ₆	0.3105	0.00
γ₇	-0.5715	-0.01
γ₈	-0.4241	0.00
γ₉	3.1356	0.00
γ₁₀	-4.2764	0.00

V-Lab

Rabbit Holdings PCL Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Rabbit Holdings PCL Analyses