How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0560	6.91***
α ARCH Response to squared shocks	0.0537	14.29***
β GARCH Volatility persistence	0.9451	249.55***

γ₁	-0.0065	-1.76*
γ₂	0.0099	1.38

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Caterpillar Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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