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	0.9103	0.00
α ARCH Response to squared shocks	0.2057	0.00
β GARCH Volatility persistence	0.7943	0.00

γ₁	0.9004	0.00
γ₂	-4.3687	0.00
γ₃	5.1497	0.01
γ₄	-1.6656	0.00
γ₅	0.5132	0.00
γ₆	-2.4698	-0.01
γ₇	3.3431	0.01
γ₈	-2.2111	-0.01
γ₉	-0.2246	0.00
γ₁₀	3.5906	0.00

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Commercial Credit And Fin Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Commercial Credit And Fin Analyses