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	57.2005	4.08***
α ARCH Response to squared shocks	0.3678	9.58***
β GARCH Volatility persistence	0.6299	16.66***

γ₁	-0.2045	-0.20
γ₂	1.9458	1.31
γ₃	-16.3804	-5.37***
γ₄	28.2466	3.48***
γ₅	0.4382	0.04
γ₆	-32.0807	-2.42**
γ₇	24.2427	3.09***
γ₈	-8.6319	-2.23**
γ₉	-0.2540	-0.09
γ₁₀	9.3036	2.90***

V-Lab

Quercus Tfi Sa Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Quercus Tfi Sa Analyses