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	1.3687	4.05***
α ARCH Response to squared shocks	0.0966	14.54***
β GARCH Volatility persistence	0.8863	124.46***

γ₁	0.0063	1.82*
γ₂	-0.0022	-0.42

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American Tower Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other American Tower Corp Analyses