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	0.8384	6.22***
α ARCH Response to squared shocks	0.0987	11.52***
β GARCH Volatility persistence	0.9011	103.53***

γ₁	-0.7964	-2.89***
γ₂	1.3067	3.77***
γ₃	-1.4226	-9.34***
γ₄	1.9607	10.39***
γ₅	-1.5079	-7.91***
γ₆	0.5020	2.71***
γ₇	-0.0872	-0.51
γ₈	0.1741	1.15
γ₉	-0.3549	-1.88*

V-Lab

Rocky Brands Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Rocky Brands Inc Analyses