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	1.0918	3.53***
α ARCH Response to squared shocks	0.0288	7.52***
β GARCH Volatility persistence	0.9317	401.95***
γ leverage Additional response to negative shocks	0.0716	9.26***

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Shift4 Payments Inc Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Shift4 Payments Inc Analyses