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	0.2581	8.21***
α ARCH Response to squared shocks	0.0316	24.73***
β GARCH Volatility persistence	0.9415	1,010.17***
γ leverage Additional response to negative shocks	0.0523	23.79***

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Howmet Aerospace Inc Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

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