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	1.6624
α ARCH Response to squared shocks	0.1614
β GARCH Volatility persistence	0.8386

γ₁	-1.6518
γ₂	0.8032
γ₃	1.3139
γ₄	-1.8774
γ₅	3.9966
γ₆	-4.4750
γ₇	1.6978
γ₈	1.2987
γ₉	-1.4612
γ₁₀	0.4487

V-Lab

Searefico Corporation Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Searefico Corporation Analyses