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	0.7850
α ARCH Response to squared shocks	0.0901
β GARCH Volatility persistence	0.9099

γ₁	0.0382
γ₂	-0.0801

V-Lab

Electronic Arts Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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