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	0.0688	2.05**
α ARCH Response to squared shocks	0.0175	4.16***
β GARCH Volatility persistence	0.9568	302.31***
γ leverage Additional response to negative shocks	0.0484	6.02***

V-Lab

International Business Machines Corp Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other International Business Machines Corp Analyses