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	1.5948	2.73***
α ARCH Response to squared shocks	0.0728	2.59***
β GARCH Volatility persistence	0.9092	24.13***

γ₁	-0.2194	-1.43
γ₂	0.5629	2.38**
γ₃	-0.5118	-2.65***

V-Lab

Tecan Group Ag Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Tecan Group Ag Analyses