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	1.4081	5.10***
α ARCH Response to squared shocks	0.0231	10.03***
β GARCH Volatility persistence	0.9402	543.18***
γ leverage Additional response to negative shocks	0.0676	17.19***

V-Lab

Sabre Corp Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Sabre Corp Analyses