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	31.9653	1.95*
α ARCH Response to squared shocks	0.2129	6.69***
β GARCH Volatility persistence	0.6425	7.19***

γ₁	4.2108	9.92***
γ₂	-5.4698	-6.28***
γ₃	2.3010	2.08**
γ₄	-1.0302	-1.28
γ₅	-0.4755	-1.10
γ₆	0.9211	3.17***
γ₇	-0.9500	-4.00***
γ₈	1.8364	6.22***

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Mas Plc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Mas Plc Analyses