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	2.0687	9.74***
α ARCH Response to squared shocks	0.0372	9.87***
β GARCH Volatility persistence	0.9328	335.66***
γ leverage Additional response to negative shocks	0.0488	8.23***

V-Lab

ABN AMRO Group NV Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other ABN AMRO Group NV Analyses