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	1.1376	7.35***
α ARCH Response to squared shocks	0.0634	6.15***
β GARCH Volatility persistence	0.9278	89.43***

V-Lab

ABN AMRO Group NV Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other ABN AMRO Group NV Analyses