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	1.5269	0.00
α ARCH Response to squared shocks	0.2053	0.00
β GARCH Volatility persistence	0.7947	0.00

γ₁	-2.0823	-0.01
γ₂	2.5603	0.01
γ₃	-1.3152	-0.10
γ₄	1.8006	0.12
γ₅	-3.0787	-0.01
γ₆	4.5865	0.01
γ₇	-3.5275	-0.01
γ₈	2.0629	0.01

V-Lab

De Tam Jsc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other De Tam Jsc Analyses