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	0.5144	3.22***
α ARCH Response to squared shocks	0.1985	2.45**
β GARCH Volatility persistence	0.7378	8.38***

V-Lab

Integroup Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Integroup Inc Analyses