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	0.0432	1.89*
α ARCH Response to squared shocks	0.0473	3.92***
β GARCH Volatility persistence	0.9269	82.94***
γ leverage Additional response to negative shocks	0.0516	3.99***

V-Lab

Intel Corp Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Intel Corp Analyses