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	1.1160	2.71***
α ARCH Response to squared shocks	0.1340	1.83*
β GARCH Volatility persistence	0.0851	0.31

γ₁	14.4429	1.38
γ₂	-15.7895	-0.95
γ₃	-0.9543	-0.09
γ₄	-7.5822	-0.90
γ₅	23.0442	2.84***
γ₆	-15.0961	-2.37**
γ₇	-5.1452	-0.82
γ₈	14.4922	1.39
γ₉	-28.1079	-1.33

V-Lab

CEPS PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other CEPS PLC Analyses