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	0.9522	3.86***
α ARCH Response to squared shocks	0.1818	12.83***
β GARCH Volatility persistence	0.8138	52.96***

γ₁	-0.3789	-8.17***
γ₂	0.5183	7.09***
γ₃	-0.1610	-2.49**
γ₄	0.0668	0.82

V-Lab

Orvis Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Orvis Corp Analyses