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	0.13
α ARCH Response to squared shocks	0.0427	4.94***
β GARCH Volatility persistence	0.9787	916.36***
γ leverage Additional response to negative shocks	-0.0427	-4.37***

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Security Paper Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Security Paper Analyses