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	8.4969	3.71***
α ARCH Response to squared shocks	0.1722	7.81***
β GARCH Volatility persistence	0.8250	36.99***

γ₁	-0.1295	-12.77***
γ₂	0.2867	10.29***
γ₃	-0.2813	-6.47***
γ₄	0.3000	5.13***

V-Lab

Atlas Menkul Kiymetler Yatir Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Atlas Menkul Kiymetler Yatir Analyses