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	1.28
α ARCH Response to squared shocks	0.0498	19.40***
β GARCH Volatility persistence	0.8995	584.84***
γ leverage Additional response to negative shocks	0.0981	15.19***

V-Lab

Net Insight AB Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Net Insight AB Analyses