How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.2298	46.90***
β GARCH Volatility persistence	0.7584	157.93***
γ leverage Additional response to negative shocks	-0.0209	-6.19***
λ₁ tau intercept Baseline long-term coefficient	120,615.9000

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Vulcan Infrastructure and Power Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Vulcan Infrastructure and Power Inc Analyses