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	2.2557	8.88***
α ARCH Response to squared shocks	0.0807	10.07***
β GARCH Volatility persistence	0.9025	89.59***

V-Lab

Mercialys SA Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Mercialys SA Analyses