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	4.9983	0.00
α ARCH Response to squared shocks	0.0024	1.16
β GARCH Volatility persistence	0.9687	732.75***
γ leverage Additional response to negative shocks	0.0578	1.95*

V-Lab

Stakk Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Stakk Ltd Analyses