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	4.4739	6.91***
α ARCH Response to squared shocks	0.0477	7.88***
β GARCH Volatility persistence	0.8974	250.96***
γ leverage Additional response to negative shocks	0.0983	8.10***

V-Lab

Hoegh Autoliners Asa Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Hoegh Autoliners Asa Analyses