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	4.9857	2.44**
α ARCH Response to squared shocks	0.1270	9.14***
β GARCH Volatility persistence	0.8268	30.43***

γ₁	0.1379	2.62***
γ₂	-0.1791	-2.61***
γ₃	0.1145	4.33***
γ₄	-0.1524	-6.11***

V-Lab

Altarea SCA Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Altarea SCA Analyses