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	1.0194	10.24***
α ARCH Response to squared shocks	0.0371	12.12***
β GARCH Volatility persistence	0.9618	314.73***

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Procter & Gamble Co/The Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Procter & Gamble Co/The Analyses