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	5.0000	0.54
α ARCH Response to squared shocks	0.0474	14.80***
β GARCH Volatility persistence	0.9189	488.52***
γ leverage Additional response to negative shocks	0.0669	11.14***

V-Lab

Rai Way S.p.A. Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Rai Way S.p.A. Analyses