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	0.0914	8.41***
α ARCH Response to squared shocks	0.0475	33.43***
β GARCH Volatility persistence	0.9252	929.87***
γ leverage Additional response to negative shocks	0.0540	24.39***

V-Lab

Electronic Arts Inc Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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