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	5.0000	0.00
α ARCH Response to squared shocks	0.0151	7.81***
β GARCH Volatility persistence	0.9888	1,156.44***
γ leverage Additional response to negative shocks	-0.0076	-3.83***

V-Lab

MCR SA Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other MCR SA Analyses