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	1.0769	6.75***
α ARCH Response to squared shocks	0.0541	14.32***
β GARCH Volatility persistence	0.9459	56.07***

V-Lab

Caterpillar Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Caterpillar Inc Analyses