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	1.3046	0.06
α ARCH Response to squared shocks	0.2263	0.04
β GARCH Volatility persistence	0.7737	0.14

γ₁	0.0121	0.00
γ₂	-0.0714	-0.01

V-Lab

Netyear Group Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Netyear Group Corp Analyses