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	1.2706	0.00
α ARCH Response to squared shocks	0.7843	0.00
β GARCH Volatility persistence	0.2156	0.00

γ₁	-6.4378	0.00
γ₂	19.6201	0.00
γ₃	-25.9853	0.00
γ₄	13.8152	0.00
γ₅	3.2735	0.00
γ₆	-14.1313	-0.01
γ₇	22.6007	0.01
γ₈	-23.8244	-0.01
γ₉	24.0699	0.01

V-Lab

SAB Events & Governance NOW Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other SAB Events & Governance NOW Analyses