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	5.0000	0.31
α ARCH Response to squared shocks	0.1274	10.20***
β GARCH Volatility persistence	0.8310	110.01***
γ leverage Additional response to negative shocks	0.0831	2.78***

V-Lab

Froey AS Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Froey AS Analyses