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	2.3457	2.10**
α ARCH Response to squared shocks	0.3546	4.18***
β GARCH Volatility persistence	0.6445	7.74***

γ₁	1.3140	0.86
γ₂	-10.8579	-1.99**
γ₃	25.4376	2.32**
γ₄	-24.8604	-2.42**
γ₅	11.8490	2.82***
γ₆	-6.8813	-3.09***
γ₇	9.3058	3.64***
γ₈	-10.1829	-3.11***
γ₉	7.3308	2.51**
γ₁₀	-3.0867	-1.34

V-Lab

Medicare Group Qpsc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Medicare Group Qpsc Analyses