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	0.4040	3.11***
α ARCH Response to squared shocks	0.0401	2.31**
β GARCH Volatility persistence	0.8379	8.63***

γ₁	-0.5305	-0.57
γ₂	-1.9148	-1.39
γ₃	4.4776	4.41***
γ₄	-2.5621	-2.73***
γ₅	0.1741	0.24
γ₆	-0.4555	-0.68

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Contact Financial Holding Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Contact Financial Holding Analyses