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	0.1934	5.32***
α ARCH Response to squared shocks	0.0451	22.77***
β GARCH Volatility persistence	0.9326	684.70***
γ leverage Additional response to negative shocks	0.0447	16.20***

V-Lab

AES Corp/VA Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other AES Corp/VA Analyses