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	2.52**
α ARCH Response to squared shocks	0.0969	15.35***
β GARCH Volatility persistence	0.8269	203.21***
γ leverage Additional response to negative shocks	0.1525	10.90***

V-Lab

Sea Oil Pcl Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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