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	0.3294	1.96**
α ARCH Response to squared shocks	0.1601	5.95***
β GARCH Volatility persistence	0.8346	27.76***

γ₁	-1.5009	-3.16***
γ₂	3.9753	5.04***
γ₃	-5.4356	-8.63***
γ₄	4.5447	10.00***
γ₅	-2.1794	-5.57***
γ₆	1.0800	2.75***
γ₇	-1.1519	-2.50**
γ₈	1.3140	2.59***
γ₉	-1.0376	-2.26**
γ₁₀	0.5167	0.82

V-Lab

Tiptree Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Tiptree Inc Analyses