How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1008	5.68***
α ARCH Response to squared shocks	0.0924	2.54**
β GARCH Volatility persistence	0.8738	19.26***

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Mcgraw Hill Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Mcgraw Hill Inc Analyses