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	2.6969	2.87***
α ARCH Response to squared shocks	0.1836	3.78***
β GARCH Volatility persistence	0.7647	12.91***

γ₁	-1.1981	-0.74
γ₂	0.0890	0.03
γ₃	4.3023	1.58
γ₄	-6.1209	-2.87***
γ₅	5.1890	3.12***
γ₆	-3.8016	-3.09***
γ₇	3.3127	3.36***
γ₈	-4.6796	-4.33***
γ₉	7.1940	3.30***

V-Lab

Schindler Holding Ag Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Schindler Holding Ag Analyses