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	1.8085	2.67***
α ARCH Response to squared shocks	0.0988	6.70***
β GARCH Volatility persistence	0.8280	27.94***

γ₁	0.8922	2.20**
γ₂	-1.8618	-3.48***
γ₃	1.3480	4.37***
γ₄	-0.1549	-0.52
γ₅	-1.0916	-3.61***
γ₆	2.0178	7.03***
γ₇	-1.9725	-5.56***
γ₈	0.9253	2.22**
γ₉	0.2505	0.59

V-Lab

ChoiceOne Financial Services Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other ChoiceOne Financial Services Inc Analyses