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	26.5150	2.79***
α ARCH Response to squared shocks	0.0791	6.37***
β GARCH Volatility persistence	0.9195	74.53***

γ₁	-0.4239	-0.56
γ₂	0.9803	0.64
γ₃	-0.0292	-0.02
γ₄	-0.9219	-0.87
γ₅	2.2639	2.13**
γ₆	-4.4358	-4.20***
γ₇	3.6561	6.03***
γ₈	-1.6307	-6.33***
γ₉	1.2023	3.70***

V-Lab

Reach Subsea Asa Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Reach Subsea Asa Analyses