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	3.0372	2.95***
α ARCH Response to squared shocks	0.1170	6.98***
β GARCH Volatility persistence	0.8560	35.93***

γ₁	-0.2555	-2.99***
γ₂	0.4723	3.83***
γ₃	-0.2748	-3.94***

V-Lab

Klabin SA Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Klabin SA Analyses