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	1.1237	2.97***
α ARCH Response to squared shocks	0.1679	1.07
β GARCH Volatility persistence	0.8320	5.31***

γ₁	-2.9503	-0.78
γ₂	6.1278	1.16
γ₃	-5.5726	-2.29**
γ₄	3.4582	2.71***
γ₅	-1.4107	-1.99**
γ₆	-0.1620	-0.23
γ₇	0.9653	1.27
γ₈	-0.3367	-0.37
γ₉	-0.5508	-0.47

V-Lab

Post And Telecommunication Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

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