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	0.8130	0.00
α ARCH Response to squared shocks	0.1037	0.00
β GARCH Volatility persistence	0.8963	0.00

γ₁	0.2055	0.00
γ₂	-1.5163	0.00
γ₃	2.4199	0.03
γ₄	-1.5425	-0.01
γ₅	0.6097	0.00
γ₆	-0.1403	0.00
γ₇	-0.1950	0.00
γ₈	0.1756	0.00
γ₉	0.0119	0.00

V-Lab

Lubawa Sa Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Lubawa Sa Analyses