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	0.6711	2.64***
α ARCH Response to squared shocks	0.3149	7.25***
β GARCH Volatility persistence	0.6270	19.81***

γ₁	1.1777	3.02***
γ₂	-1.1594	-1.88*
γ₃	0.3802	0.69
γ₄	-0.2840	-0.51
γ₅	-1.1806	-2.74***
γ₆	2.1298	5.31***
γ₇	-2.9206	-5.33***
γ₈	4.1143	6.50***
γ₉	-4.3934	-7.52***
γ₁₀	3.0541	3.18***

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Itafos Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Itafos Inc Analyses