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	1.0290	7.05***
α ARCH Response to squared shocks	0.0528	14.06***
β GARCH Volatility persistence	0.9444	246.96***

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Home Depot Inc/The Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Home Depot Inc/The Analyses