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	1.0246	6.75***
α ARCH Response to squared shocks	0.0919	0.89
β GARCH Volatility persistence	0.9081	8.76***

γ₁	-0.0261	-0.06
γ₂	0.0718	0.14
γ₃	-0.0470	-0.18
γ₄	0.0424	0.18
γ₅	-0.1573	-0.64
γ₆	0.1845	0.75
γ₇	-0.0992	-0.41
γ₈	0.1861	0.39

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NVIDIA Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other NVIDIA Corp Analyses