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	0.8398	0.46
α ARCH Response to squared shocks	0.2815	0.01
β GARCH Volatility persistence	0.7184	0.04

γ₁	-0.4766	-0.01
γ₂	2.0933	0.04
γ₃	-3.4969	-1.69*
γ₄	2.5325	0.36
γ₅	-2.1126	-1.17
γ₆	2.8136	1.16
γ₇	-1.1190	-0.17
γ₈	-3.9526	-0.23
γ₉	10.8797	0.27

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Bnp Paribas Bank Polska Sa Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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