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	2.4223	4.27***
α ARCH Response to squared shocks	0.0544	7.61***
β GARCH Volatility persistence	0.9403	114.43***

γ₁	-0.0347	-4.34***
γ₂	0.0678	5.21***
γ₃	-0.0447	-4.56***

V-Lab

Klepierre Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Klepierre Analyses