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	1.0216	0.00
α ARCH Response to squared shocks	0.1793	0.00
β GARCH Volatility persistence	0.8206	0.00

γ₁	4.0664	0.00
γ₂	-15.7071	0.00
γ₃	28.3809	0.00
γ₄	-26.9195	0.00
γ₅	17.6090	0.00
γ₆	-14.3033	0.00
γ₇	0.5708	0.00
γ₈	12.7986	0.00
γ₉	-7.7144	0.00

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Banco Nacional DE Credito CA Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Banco Nacional DE Credito CA Analyses