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	0.8199	4.82***
α ARCH Response to squared shocks	0.1126	4.74***
β GARCH Volatility persistence	0.8871	37.17***

γ₁	-2.4954	-4.05***
γ₂	3.3141	3.06***
γ₃	-0.5224	-0.71
γ₄	-1.5353	-2.89***
γ₅	2.1630	4.22***
γ₆	-0.7586	-1.44
γ₇	-0.6853	-1.15
γ₈	0.5973	1.36
γ₉	0.2532	0.71
γ₁₀	-0.9878	-1.93*

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Inter Cars Sa Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Inter Cars Sa Analyses