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	1.1213	0.04
α ARCH Response to squared shocks	0.1446	0.01
β GARCH Volatility persistence	0.8554	0.05

γ₁	-0.9769	0.00
γ₂	2.7481	0.00
γ₃	-0.8454	0.00
γ₄	-3.6583	-0.01
γ₅	4.8275	0.42
γ₆	-4.6972	-0.31
γ₇	4.8305	0.27
γ₈	-2.8732	-0.33
γ₉	0.9352	1.04

V-Lab

Vien Dong Investment Develop Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Vien Dong Investment Develop Analyses