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	4.0142	6.98***
α ARCH Response to squared shocks	0.0216	13.27***
β GARCH Volatility persistence	0.9514	787.56***
γ leverage Additional response to negative shocks	0.0486	14.98***

V-Lab

SES SA Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other SES SA Analyses