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	1.0327	4.12***
α ARCH Response to squared shocks	0.1555	18.07***
β GARCH Volatility persistence	0.8394	110.64***

γ₁	-0.0379	-4.46***
γ₂	0.0923	8.46***

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Juventus Football Club S.p.A. Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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