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	3.9045	10.13***
α ARCH Response to squared shocks	0.1174	5.36***
β GARCH Volatility persistence	0.8302	32.57***

γ₁	0.0148	1.91*
γ₂	-0.0129	-1.14
γ₃	0.0078	1.06
γ₄	-0.0182	-1.93*
γ₅	0.0283	1.76*
γ₆	-0.0446	-1.55

V-Lab

Bank of New York Mellon Corp/The Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Bank of New York Mellon Corp/The Analyses