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	1.9635	3.92***
α ARCH Response to squared shocks	0.1321	5.57***
β GARCH Volatility persistence	0.8672	39.50***

γ₁	0.3578	0.26
γ₂	-2.7147	-1.07
γ₃	7.2689	1.54
γ₄	-11.4366	-1.79*
γ₅	11.9222	1.77*
γ₆	-6.6140	-1.52
γ₇	0.3766	0.34
γ₈	1.3144	2.18**
γ₉	-1.0081	-1.73*
γ₁₀	0.5814	0.66

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Security Paper Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Security Paper Analyses