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	1.4720	13.03***
α ARCH Response to squared shocks	0.0502	19.53***
β GARCH Volatility persistence	0.9150	501.91***
γ leverage Additional response to negative shocks	0.0580	11.05***

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Paycom Software Inc Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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