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	2.3504	2.10**
α ARCH Response to squared shocks	0.3050	5.37***
β GARCH Volatility persistence	0.6929	12.30***

γ₁	-2.2827	-3.27***
γ₂	3.5979	3.06***
γ₃	-1.8297	-2.23**
γ₄	0.7670	1.12
γ₅	0.1697	0.22
γ₆	-1.0759	-1.39
γ₇	0.4100	0.53
γ₈	0.9317	1.83*
γ₉	-4.9824	-3.17***
γ₁₀	15.0037	3.25***

V-Lab

MCR SA Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other MCR SA Analyses