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	1.3557	5.51***
α ARCH Response to squared shocks	0.0950	4.30***
β GARCH Volatility persistence	0.7916	17.27***

γ₁	-0.6767	-1.55
γ₂	0.9812	1.51
γ₃	0.1069	0.28
γ₄	-0.8614	-2.70***
γ₅	0.8173	2.36**
γ₆	-0.9023	-2.21**
γ₇	1.0546	2.09**
γ₈	0.2252	0.28
γ₉	-3.1308	-2.39**
γ₁₀	4.2007	2.36**

V-Lab

WAM Active Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other WAM Active Ltd Analyses