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	1.1306	5.78***
α ARCH Response to squared shocks	0.0746	15.02***
β GARCH Volatility persistence	0.9210	175.04***

γ₁	-0.0182	-1.91*
γ₂	0.0381	2.67***
γ₃	-0.0342	-2.89***
γ₄	0.0215	1.24

V-Lab

Boston Scientific Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Boston Scientific Corp Analyses