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	1.2319	5.99***
α ARCH Response to squared shocks	0.1039	9.62***
β GARCH Volatility persistence	0.8639	61.27***

γ₁	-0.3122	-8.63***
γ₂	0.5051	10.01***
γ₃	-0.2286	-7.99***
γ₄	0.0282	0.70

V-Lab

Stroeer SE Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Stroeer SE Analyses