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	1.2190	5.40***
α ARCH Response to squared shocks	0.0872	7.79***
β GARCH Volatility persistence	0.9094	83.05***

γ₁	-0.2375	-4.36***
γ₂	0.4493	5.53***

V-Lab

Neto Malinda Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Neto Malinda Analyses