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	0.0249	1.13
α ARCH Response to squared shocks	0.0206	4.98***
β GARCH Volatility persistence	0.9551	303.21***
γ leverage Additional response to negative shocks	0.0478	6.58***

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Walt Disney Co/The Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Walt Disney Co/The Analyses