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	0.0177	4.49***
α ARCH Response to squared shocks	0.0209	22.18***
β GARCH Volatility persistence	0.9616	1,297.74***
γ leverage Additional response to negative shocks	0.0350	18.65***

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Procter & Gamble Co/The Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Procter & Gamble Co/The Analyses