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	1.2457	2.20**
α ARCH Response to squared shocks	0.2922	10.47***
β GARCH Volatility persistence	0.7071	25.71***

γ₁	-10.8145	-3.53***
γ₂	14.5107	3.40***
γ₃	-3.3887	-1.70*
γ₄	-2.6392	-2.08**
γ₅	7.3657	2.97***

V-Lab

Banque Cantonale Vaudoise Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Banque Cantonale Vaudoise Analyses