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	1.4621	5.17***
α ARCH Response to squared shocks	0.1185	13.59***
β GARCH Volatility persistence	0.8502	64.80***

γ₁	-0.2947	-7.83***
γ₂	0.4889	8.21***
γ₃	-0.2737	-6.20***
γ₄	0.0909	2.75***
γ₅	0.0328	1.35
γ₆	-0.1304	-4.37***

V-Lab

Sierra Bancorp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Sierra Bancorp Analyses