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	2.2442	10.37***
α ARCH Response to squared shocks	0.1215	8.83***
β GARCH Volatility persistence	0.8489	56.90***

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Scottish American Investment Co PLC/The Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Scottish American Investment Co PLC/The Analyses