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	0.0399	5.42***
α ARCH Response to squared shocks	0.0297	24.61***
β GARCH Volatility persistence	0.9550	1,158.93***
γ leverage Additional response to negative shocks	0.0303	14.04***

V-Lab

Bristol-Myers Squibb Co Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Bristol-Myers Squibb Co Analyses