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	2.1841	6.17***
α ARCH Response to squared shocks	0.1605	6.33***
β GARCH Volatility persistence	0.8015	22.49***

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Orange County Bancorp Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Orange County Bancorp Inc Analyses