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	1.1983	1.35
α ARCH Response to squared shocks	0.0739	0.06
β GARCH Volatility persistence	0.9261	0.72

γ₁	0.0414	0.09
γ₂	-0.0904	-0.03
γ₃	0.0575	0.02
γ₄	-0.0256	-0.60
γ₅	-0.0238	-0.02

V-Lab

AES Corp/VA Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other AES Corp/VA Analyses