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	1.4070	6.41***
α ARCH Response to squared shocks	0.1910	4.85***
β GARCH Volatility persistence	0.4581	6.38***

γ₁	-0.5227	-1.61
γ₂	0.6894	1.40
γ₃	0.3530	1.11
γ₄	-1.0366	-3.79***
γ₅	0.9058	3.03***
γ₆	-0.8774	-2.53**
γ₇	0.9039	2.06**
γ₈	0.3788	0.52
γ₉	-3.0001	-2.53**
γ₁₀	3.5880	2.35**

V-Lab

WAM Active Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other WAM Active Ltd Analyses