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	0.8389	4.83***
α ARCH Response to squared shocks	0.2544	6.17***
β GARCH Volatility persistence	0.6998	11.52***

V-Lab

Froey AS Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Froey AS Analyses