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	1.3026	15.31***
α ARCH Response to squared shocks	0.1053	16.18***
β GARCH Volatility persistence	0.7948	248.05***
γ leverage Additional response to negative shocks	0.1722	18.43***

V-Lab

CECEP Wind-Power Corp Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other CECEP Wind-Power Corp Analyses