How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1572	4.03***
α ARCH Response to squared shocks	0.3287	8.74***
β GARCH Volatility persistence	0.6710	17.86***

γ₁	-4.3251	-3.42***
γ₂	6.8863	3.85***

V-Lab

LQR House Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other LQR House Inc Analyses