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	11.9238	1.75*
α ARCH Response to squared shocks	0.3499	5.84***
β GARCH Volatility persistence	0.6300	15.80***

γ₁	-0.6794	-0.53
γ₂	2.5471	1.42
γ₃	-17.4828	-5.39***
γ₄	31.2716	3.67***
γ₅	-2.8511	-0.24
γ₆	-30.9872	-2.49**
γ₇	24.9456	3.22***
γ₈	-9.6636	-2.41**
γ₉	0.6660	0.21
γ₁₀	8.4050	1.98**

V-Lab

Quercus Tfi Sa Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Quercus Tfi Sa Analyses