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	5.0000	2.58***
α ARCH Response to squared shocks	0.0314	3.29***
β GARCH Volatility persistence	0.9690	238.31***
γ leverage Additional response to negative shocks	-0.0007	-0.07

V-Lab

De Tam Jsc Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other De Tam Jsc Analyses