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	1.1616	8.39***
α ARCH Response to squared shocks	0.1176	12.58***
β GARCH Volatility persistence	0.8027	185.24***
γ leverage Additional response to negative shocks	0.1117	6.48***

V-Lab

Advanced Energy Solution Hol Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Advanced Energy Solution Hol Analyses