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	1.1138	2.59***
α ARCH Response to squared shocks	0.2211	0.08
β GARCH Volatility persistence	0.7788	0.28

γ₁	-7.7048	-0.05
γ₂	14.4959	0.05
γ₃	-8.7930	-0.06
γ₄	0.6758	0.02
γ₅	2.5729	1.16
γ₆	-1.8555	-0.55
γ₇	1.4632	0.42
γ₈	-2.1209	-1.89*
γ₉	2.0260	0.72

V-Lab

SPT Energy Group Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other SPT Energy Group Inc Analyses