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	0.5683	4.43***
α ARCH Response to squared shocks	0.1107	7.68***
β GARCH Volatility persistence	0.8282	33.42***

γ₁	-1.0859	-4.99***
γ₂	1.3403	4.21***
γ₃	-0.3983	-1.77*
γ₄	-0.0467	-0.20
γ₅	0.4987	2.54**
γ₆	-0.2526	-1.85*
γ₇	-0.1057	-0.98
γ₈	0.0829	0.77
γ₉	-0.3935	-2.66***

V-Lab

Primis Financial Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Primis Financial Corp Analyses