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	0.4975	0.84
α ARCH Response to squared shocks	0.0899	5.01***
β GARCH Volatility persistence	0.9058	63.00***

γ₁	-4.6822	-2.10**
γ₂	5.6938	1.68*
γ₃	-0.9816	-0.43
γ₄	-0.6330	-0.22
γ₅	1.2447	0.40
γ₆	-1.1492	-0.47
γ₇	1.4987	0.87
γ₈	-2.1412	-1.79*
γ₉	1.9402	1.98**
γ₁₀	-0.9418	-0.84

V-Lab

SigmaRoc PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other SigmaRoc PLC Analyses