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	0.4833	3.00***
α ARCH Response to squared shocks	0.0959	6.47***
β GARCH Volatility persistence	0.8864	54.08***

γ₁	-1.7185	-6.66***
γ₂	3.2174	7.39***
γ₃	-2.4595	-6.05***
γ₄	1.0903	3.04***
γ₅	0.2021	0.57
γ₆	-0.9678	-2.25**
γ₇	1.9592	3.21***
γ₈	-2.3043	-2.52**
γ₉	1.8229	1.61

V-Lab

Thorney Opportunities Ltd/Fund Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Thorney Opportunities Ltd/Fund Analyses