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	0.0454	2.18**
α ARCH Response to squared shocks	0.0263	5.81***
β GARCH Volatility persistence	0.9514	282.65***
γ leverage Additional response to negative shocks	0.0435	5.71***

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Home Depot Inc/The Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Home Depot Inc/The Analyses