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	2.2424	9.10***
α ARCH Response to squared shocks	0.0571	0.92
β GARCH Volatility persistence	0.0000	0.00

V-Lab

Commercial Bancgroup Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Commercial Bancgroup Inc Analyses