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	0.0294	7.12***
α ARCH Response to squared shocks	0.0177	19.81***
β GARCH Volatility persistence	0.9627	1,285.25***
γ leverage Additional response to negative shocks	0.0385	26.89***

V-Lab

Chevron Corp Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Chevron Corp Analyses