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	0.2542
α ARCH Response to squared shocks	0.1841
β GARCH Volatility persistence	0.8159

γ₁	-0.4615
γ₂	0.6108
γ₃	-0.1615

V-Lab

TAKE Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other TAKE Ltd Analyses