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	65.0193	0.00
α ARCH Response to squared shocks	0.3613	0.00
β GARCH Volatility persistence	0.6387	0.00

γ₁	-2.5659	-0.42
γ₂	4.2155	0.10
γ₃	-2.7968	-0.04
γ₄	1.9355	0.09
γ₅	-2.0271	-0.04
γ₆	2.6370	0.03
γ₇	-1.9695	-0.05
γ₈	1.0474	0.11
γ₉	-1.5052	-0.02
γ₁₀	3.8721	0.01

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Datagroup Se Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Datagroup Se Analyses