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	0.2482	2.03**
α ARCH Response to squared shocks	0.0316	6.21***
β GARCH Volatility persistence	0.9416	253.33***
γ leverage Additional response to negative shocks	0.0522	5.98***

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Howmet Aerospace Inc Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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