How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0361	5.25***
α ARCH Response to squared shocks	0.0803	2.98***
β GARCH Volatility persistence	0.9197	34.27***

γ₁	-0.0085	-0.14
γ₂	0.0041	0.06

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Applied Materials Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Applied Materials Inc Analyses