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	1.5448	4.57***
α ARCH Response to squared shocks	0.1226	6.83***
β GARCH Volatility persistence	0.8759	48.34***

γ₁	-0.3471	-1.25
γ₂	1.0213	2.12**
γ₃	-1.4125	-3.60***
γ₄	1.1631	3.74***
γ₅	-0.7444	-3.40***
γ₆	0.7917	5.63***
γ₇	-0.9829	-9.71***
γ₈	0.5356	2.00**

V-Lab

Garovaglio Zorraquin SA Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Garovaglio Zorraquin SA Analyses