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	2.3596	2.09**
α ARCH Response to squared shocks	0.3033	5.49***
β GARCH Volatility persistence	0.6946	12.68***

γ₁	-2.2732	-3.28***
γ₂	3.5902	3.08***
γ₃	-1.8409	-2.26**
γ₄	0.7901	1.16
γ₅	0.1457	0.19
γ₆	-1.0788	-1.39
γ₇	0.4604	0.59
γ₈	0.8387	1.55
γ₉	-4.8611	-3.03***
γ₁₀	14.9197	3.10***

V-Lab

MCR SA Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other MCR SA Analyses