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	1.3751	4.61***
α ARCH Response to squared shocks	0.0610	4.10***
β GARCH Volatility persistence	0.9341	62.30***

V-Lab

Momentum Group Ab Publ Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Momentum Group Ab Publ Analyses