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	0.6651	3.04***
α ARCH Response to squared shocks	0.2674	14.61***
β GARCH Volatility persistence	0.7126	34.14***

γ₁	-1.4099	-7.86***
γ₂	1.9927	5.76***
γ₃	-0.8981	-2.82***
γ₄	0.6796	2.83***
γ₅	-0.5475	-3.16***
γ₆	0.2617	1.86*
γ₇	0.0177	0.08

V-Lab

Nms Holdings Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Nms Holdings Corp Analyses