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	1.1787	4.36***
α ARCH Response to squared shocks	0.1955	15.01***
β GARCH Volatility persistence	0.8031	58.29***

γ₁	-0.3931	-4.08***
γ₂	0.6420	4.23***
γ₃	-0.4769	-4.15***
γ₄	0.4819	5.31***
γ₅	-0.6876	-9.11***
γ₆	1.1642	10.41***

V-Lab

Uniform Industrial Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Uniform Industrial Analyses