RiskMetrics Group LLC Asymmetric ILLIQ Liquidity Analysis
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Parameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0084 | 1.83 | |
| 0.1082 | 14.57 | |
| 0.8626 | 183.64 | |
| 0.0585 | 4.17 |
Estimation Period:
Jan 24, 2008 to Jun 1, 2010
Jan 24, 2008 to Jun 1, 2010
News Impact Curve
Liquidity Forecasts
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