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	1.3278	3.30***
α ARCH Response to squared shocks	0.1909	6.39***
β GARCH Volatility persistence	0.8057	28.16***

γ₁	-3.6212	-1.33
γ₂	7.2651	2.01**
γ₃	-6.1829	-3.25***
γ₄	2.9263	1.64
γ₅	0.5817	0.32
γ₆	-7.7712	-3.50***
γ₇	15.9201	6.18***
γ₈	-10.1111	-4.18***
γ₉	-2.9703	-1.28
γ₁₀	9.0562	3.51***

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Development Invt Constr Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Development Invt Constr Analyses