How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4343	8.79***
α ARCH Response to squared shocks	0.0805	9.23***
β GARCH Volatility persistence	0.9012	83.11***

γ₁	0.0239	2.05**
γ₂	0.0016	0.07

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Paycom Software Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Paycom Software Inc Analyses