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	35.0882	3.56***
α ARCH Response to squared shocks	0.2809	6.87***
β GARCH Volatility persistence	0.6998	18.15***

γ₁	6.4701	6.45***
γ₂	-7.7964	-5.24***
γ₃	2.2575	2.06**
γ₄	-5.8337	-4.75***
γ₅	10.2217	5.14***
γ₆	-4.1187	-2.33**
γ₇	-6.8523	-6.18***
γ₈	13.1206	6.71***

V-Lab

Ateliers Mecaniduqes Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Ateliers Mecaniduqes Analyses