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	0.7481	2.06**
α ARCH Response to squared shocks	0.3071	7.30***
β GARCH Volatility persistence	0.6783	15.69***

γ₁	-9.9721	-2.66***
γ₂	16.4424	2.84***
γ₃	-8.1137	-2.03**
γ₄	-0.6184	-0.13
γ₅	5.3228	0.97
γ₆	-7.0914	-1.51
γ₇	11.9086	3.05***
γ₈	-18.1391	-3.97***

V-Lab

XChange TEC Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other XChange TEC Inc Analyses