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	5.0000	1.99**
α ARCH Response to squared shocks	0.0563	9.60***
β GARCH Volatility persistence	0.9396	402.24***
γ leverage Additional response to negative shocks	0.0074	0.77

V-Lab

N-able Inc Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other N-able Inc Analyses