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	1.0671	3.45***
α ARCH Response to squared shocks	0.0265	6.95***
β GARCH Volatility persistence	0.9342	407.08***
γ leverage Additional response to negative shocks	0.0712	9.32***

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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