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	2.7461	4.39***
α ARCH Response to squared shocks	0.0767	19.14***
β GARCH Volatility persistence	0.9054	326.40***
γ leverage Additional response to negative shocks	0.0347	5.47***

V-Lab

HelloFresh SE Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other HelloFresh SE Analyses