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	2.5182	5.56***
α ARCH Response to squared shocks	0.1024	16.24***
β GARCH Volatility persistence	0.8939	130.87***

γ₁	-0.1543	-4.63***
γ₂	0.3245	4.55***
γ₃	-0.2358	-4.08***
γ₄	0.0853	2.88***

V-Lab

Methode Electronics Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Methode Electronics Inc Analyses