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	0.9757	1.97**
α ARCH Response to squared shocks	0.1451	5.47***
β GARCH Volatility persistence	0.8544	31.32***

γ₁	-0.0010	0.00
γ₂	1.9429	0.13
γ₃	-8.2283	-1.78*
γ₄	10.1868	3.54***
γ₅	1.7930	0.46
γ₆	-15.7080	-3.77***
γ₇	18.1579	6.52***
γ₈	-10.7820	-5.39***
γ₉	0.6757	0.36
γ₁₀	-2.6895	-0.32

V-Lab

Stakk Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Stakk Ltd Analyses