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	1.1604	4.07***
α ARCH Response to squared shocks	0.3749	8.12***
β GARCH Volatility persistence	0.6250	13.54***

γ₁	-5.3686	-4.21***
γ₂	8.3606	4.72***

V-Lab

LQR House Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other LQR House Inc Analyses