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	0.2816	0.00
α ARCH Response to squared shocks	0.2772	0.00
β GARCH Volatility persistence	0.7228	0.00

γ₁	-2.2957	-0.01
γ₂	4.2432	0.01
γ₃	-4.5605	0.00
γ₄	6.6933	0.00
γ₅	-10.3687	0.00

V-Lab

Til Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Til Ltd Analyses