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	0.6709	2.60***
α ARCH Response to squared shocks	0.3144	7.21***
β GARCH Volatility persistence	0.6285	20.03***

γ₁	1.1653	2.99***
γ₂	-1.1503	-1.87*
γ₃	0.4001	0.72
γ₄	-0.3356	-0.59
γ₅	-1.1061	-2.52**
γ₆	2.0415	5.10***
γ₇	-2.8079	-5.10***
γ₈	4.0117	6.21***
γ₉	-4.3878	-7.45***
γ₁₀	3.2308	3.33***

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Itafos Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Itafos Inc Analyses