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	1.2900	5.76***
α ARCH Response to squared shocks	0.0650	11.67***
β GARCH Volatility persistence	0.9304	169.73***

γ₁	0.0135	3.13***
γ₂	-0.0192	-2.33**

V-Lab

Equinor ASA Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Equinor ASA Analyses