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	1.7023	3.51***
α ARCH Response to squared shocks	0.1780	8.23***
β GARCH Volatility persistence	0.8126	41.66***

γ₁	-5.3095	-4.08***
γ₂	10.7765	4.52***
γ₃	-9.1543	-5.01***
γ₄	5.3790	3.89***
γ₅	-2.7211	-2.97***
γ₆	1.8493	3.23***
γ₇	-1.2032	-2.23**
γ₈	0.5209	1.00
γ₉	-0.3585	-0.54

V-Lab

SeSa S.p.A. Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other SeSa S.p.A. Analyses