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	3.4092	0.10
α ARCH Response to squared shocks	0.0028	1.23
β GARCH Volatility persistence	0.9822	332.48***
γ leverage Additional response to negative shocks	0.0301	1.67*

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Jetbest Corp Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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