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	0.4864	4.70***
α ARCH Response to squared shocks	0.0541	7.27***
β GARCH Volatility persistence	0.9338	102.44***

γ₁	-0.1742	-6.85***
γ₂	0.2250	5.22***
γ₃	-0.0822	-1.76*

V-Lab

Create Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Create Corp Analyses