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	0.1164	2.28**
α ARCH Response to squared shocks	0.0467	7.00***
β GARCH Volatility persistence	0.9318	216.36***
γ leverage Additional response to negative shocks	0.0412	3.91***

V-Lab

Boston Scientific Corp Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Boston Scientific Corp Analyses