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	0.0237	1.80*
α ARCH Response to squared shocks	0.0258	6.51***
β GARCH Volatility persistence	0.9559	281.65***
γ leverage Additional response to negative shocks	0.0360	3.97***

V-Lab

Johnson & Johnson Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Johnson & Johnson Analyses