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	2.5767	6.50***
α ARCH Response to squared shocks	0.0780	22.75***
β GARCH Volatility persistence	0.8398	392.63***
γ leverage Additional response to negative shocks	0.1644	27.51***

V-Lab

Uniform Industrial Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Uniform Industrial Analyses