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	0.0528	1.32
α ARCH Response to squared shocks	0.0392	7.33***
β GARCH Volatility persistence	0.9562	407.07***
γ leverage Additional response to negative shocks	0.0092	0.38

V-Lab

Vien Dong Investment Develop Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Vien Dong Investment Develop Analyses