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	5.0000	0.02
α ARCH Response to squared shocks	0.2463	10.81***
β GARCH Volatility persistence	0.7398	81.36***
γ leverage Additional response to negative shocks	0.0279	0.98

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LQR House Inc Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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