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	1.1326	7.45***
α ARCH Response to squared shocks	0.2378	10.09***
β GARCH Volatility persistence	0.6408	29.33***

γ₁	0.2430	4.55***
γ₂	-0.5331	-6.82***
γ₃	0.5894	12.52***
γ₄	-0.6713	-10.93***

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