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	0.3614	2.62***
α ARCH Response to squared shocks	0.1934	3.50***
β GARCH Volatility persistence	0.7788	15.46***

γ₁	-1.8683	-1.90*
γ₂	3.6598	2.25**
γ₃	-3.3506	-3.19***
γ₄	3.5436	2.72***
γ₅	-4.3927	-2.23**
γ₆	3.1674	1.75*
γ₇	-0.6847	-0.64
γ₈	-0.3696	-0.39
γ₉	0.8097	0.72
γ₁₀	-0.8260	-0.76

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International Co FOR INV & DEV Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other International Co FOR INV & DEV Analyses