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	0.74
α ARCH Response to squared shocks	0.0639	25.42***
β GARCH Volatility persistence	0.9377	533.71***
γ leverage Additional response to negative shocks	-0.0032	-0.71

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Neto Malinda Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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