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	2.3717	8.50***
α ARCH Response to squared shocks	0.0523	24.66***
β GARCH Volatility persistence	0.9418	710.29***
γ leverage Additional response to negative shocks	0.0117	3.66***

V-Lab

Colruyt Group N.V Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Colruyt Group N.V Analyses