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	1.5653
α ARCH Response to squared shocks	0.1313
β GARCH Volatility persistence	0.8687

γ₁	0.7533
γ₂	-5.1585
γ₃	9.3462
γ₄	-4.1301
γ₅	-3.3485
γ₆	2.9421
γ₇	-0.7632
γ₈	0.6701

V-Lab

Transpek Industry Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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