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	0.6247	8.20***
α ARCH Response to squared shocks	0.1024	8.17***
β GARCH Volatility persistence	0.8498	42.73***

γ₁	-0.0994	-5.76***
γ₂	0.1166	4.40***
γ₃	-0.0569	-2.12**

V-Lab

General Packer Co Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other General Packer Co Analyses