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	1.4184	3.10***
α ARCH Response to squared shocks	0.1163	4.05***
β GARCH Volatility persistence	0.8451	19.29***

γ₁	0.0129	0.10
γ₂	-0.1713	-0.73
γ₃	0.3495	0.99
γ₄	-0.6639	-2.24**
γ₅	1.6163	7.52***
γ₆	-2.4099	-7.71***
γ₇	1.5162	3.57***
γ₈	-0.1338	-0.23

V-Lab

Grimoldi SA Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Grimoldi SA Analyses