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	0.4028	3.13***
α ARCH Response to squared shocks	0.0389	2.27**
β GARCH Volatility persistence	0.8399	8.58***

γ₁	-0.5869	-0.64
γ₂	-1.8066	-1.33
γ₃	4.4432	4.42***
γ₄	-2.6519	-2.87***
γ₅	0.3139	0.44
γ₆	-0.7240	-1.13

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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