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	1.1876	3.09***
α ARCH Response to squared shocks	0.2818	12.87***
β GARCH Volatility persistence	0.7168	32.78***

γ₁	-0.0995	-0.49
γ₂	0.0597	0.21
γ₃	-0.2782	-1.58
γ₄	1.0727	5.87***
γ₅	-1.8801	-6.18***

V-Lab

Sea Oil Pcl Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Sea Oil Pcl Analyses