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	1.0332	2.02**
α ARCH Response to squared shocks	0.0854	4.29***
β GARCH Volatility persistence	0.8664	23.17***

γ₁	0.4394	0.37
γ₂	-0.0348	-0.02
γ₃	-1.1916	-0.82
γ₄	0.4248	0.28
γ₅	-2.0082	-1.40
γ₆	6.3645	6.17***
γ₇	-5.5940	-6.72***
γ₈	2.2800	3.14***
γ₉	-1.1342	-2.09**
γ₁₀	0.9097	1.34

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Mo-Bruk Sa Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Mo-Bruk Sa Analyses