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	0.8968	2.27**
α ARCH Response to squared shocks	0.1842	3.60***
β GARCH Volatility persistence	0.8157	16.03***

γ₁	1.0504	0.76
γ₂	-5.0543	-1.81*
γ₃	10.5908	1.59
γ₄	-13.0211	-1.67*
γ₅	11.4244	2.15**
γ₆	-7.2059	-2.75***
γ₇	1.2406	1.20
γ₈	2.1959	3.71***
γ₉	-1.1436	-1.41
γ₁₀	-1.3440	-0.90

V-Lab

Tm Technology Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Tm Technology Inc Analyses