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	1.1320	7.35***
α ARCH Response to squared shocks	0.2376	10.33***
β GARCH Volatility persistence	0.6450	30.22***

γ₁	0.2333	4.39***
γ₂	-0.5162	-6.63***
γ₃	0.5773	12.17***
γ₄	-0.6668	-10.58***

V-Lab

CECEP Wind-Power Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other CECEP Wind-Power Corp Analyses