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	1.0880	8.14***
α ARCH Response to squared shocks	0.0663	13.93***
β GARCH Volatility persistence	0.9326	194.98***

γ₁	-0.0049	-0.81
γ₂	0.0107	0.95

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Ralph Lauren Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Ralph Lauren Corp Analyses