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How returns affect tomorrow's illiquidity

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Param	Value	t-stat
ωconst	1.0949	7.19***
αARCH	0.0815	7.83***
βGARCH	0.9138	83.38***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0949	7.19***
α ARCH Response to squared shocks	0.0815	7.83***
β GARCH Volatility persistence	0.9138	83.38***

V-Lab

Shift4 Payments Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Shift4 Payments Inc Analyses