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	0.1598	5.00***
α ARCH Response to squared shocks	0.0620	18.67***
β GARCH Volatility persistence	0.8747	369.22***
γ leverage Additional response to negative shocks	0.1254	19.61***

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Yamashin-Filter Corp Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Yamashin-Filter Corp Analyses