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	0.6512	0.06
α ARCH Response to squared shocks	0.1010	0.01
β GARCH Volatility persistence	0.8990	0.06

γ₁	-1.1500	-0.02
γ₂	1.5215	0.02
γ₃	-0.3564	-0.01
γ₄	-0.1407	-0.01
γ₅	0.1991	0.02
γ₆	-0.1202	-0.02
γ₇	0.0141	0.01

V-Lab

CRA International Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other CRA International Inc Analyses