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	0.6882	2.50**
α ARCH Response to squared shocks	0.3185	7.25***
β GARCH Volatility persistence	0.6288	20.33***

γ₁	1.1618	2.99***
γ₂	-1.1549	-1.87*
γ₃	0.4283	0.75
γ₄	-0.3927	-0.67
γ₅	-1.0317	-2.28**
γ₆	1.9580	4.86***
γ₇	-2.7015	-4.84***
γ₈	3.9187	5.90***
γ₉	-4.4021	-7.35***
γ₁₀	3.4977	3.52***

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Itafos Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Itafos Inc Analyses