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	0.0431	12.41***
α ARCH Response to squared shocks	0.0557	19.07***
β GARCH Volatility persistence	0.8850	480.20***
γ leverage Additional response to negative shocks	0.0981	18.63***

V-Lab

Sfa Engineering Corp Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Sfa Engineering Corp Analyses