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	1.8145	4.35***
α ARCH Response to squared shocks	0.1209	14.72***
β GARCH Volatility persistence	0.8593	89.28***

γ₁	-0.4965	-9.95***
γ₂	0.8705	11.63***
γ₃	-0.4929	-10.16***
γ₄	0.1964	4.65***
γ₅	-0.0847	-1.96*
γ₆	-0.0197	-0.33

V-Lab

ICADE Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other ICADE Analyses