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	1.5384	6.09***
α ARCH Response to squared shocks	0.1418	10.33***
β GARCH Volatility persistence	0.8526	61.75***

V-Lab

Cmc Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Cmc Corp Analyses