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	0.6080	0.09
α ARCH Response to squared shocks	0.2761	0.01
β GARCH Volatility persistence	0.7239	0.03

γ₁	-1.6096	-0.01
γ₂	2.6962	0.02
γ₃	-1.7527	-0.51
γ₄	-0.0200	-0.03
γ₅	1.6536	0.11
γ₆	-1.0927	-0.06
γ₇	0.2042	0.01
γ₈	-0.5951	-0.03
γ₉	1.4896	0.04

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Bemap Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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