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	0.3479	15.12***
α ARCH Response to squared shocks	0.0569	29.58***
β GARCH Volatility persistence	0.9091	736.12***
γ leverage Additional response to negative shocks	0.0615	19.25***

V-Lab

American Tower Corp Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other American Tower Corp Analyses