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	1.3225	15.45***
α ARCH Response to squared shocks	0.1058	16.18***
β GARCH Volatility persistence	0.7941	246.70***
γ leverage Additional response to negative shocks	0.1726	18.39***

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