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How returns affect tomorrow's illiquidity

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Param	Value	t-stat
ωconst	2.1225	16.10***
αARCH	0.0557	8.56***
βGARCH	0.9250	124.52***

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.1225	16.10***
α ARCH Response to squared shocks	0.0557	8.56***
β GARCH Volatility persistence	0.9250	124.52***

V-Lab

MasterCard Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other MasterCard Inc Analyses