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	5.0000	0.39
α ARCH Response to squared shocks	0.0688	24.88***
β GARCH Volatility persistence	0.9168	217.96***
γ leverage Additional response to negative shocks	0.0288	3.75***

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Azorim Invt Dev & Constr Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Azorim Invt Dev & Constr Analyses