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	1.4678	12.89***
α ARCH Response to squared shocks	0.0478	19.28***
β GARCH Volatility persistence	0.9169	518.34***
γ leverage Additional response to negative shocks	0.0586	11.43***

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Paycom Software Inc Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Paycom Software Inc Analyses