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	1.5041	2.31**
α ARCH Response to squared shocks	0.2212	7.62***
β GARCH Volatility persistence	0.7784	26.88***

γ₁	-2.2223	-0.87
γ₂	-2.0158	-0.55
γ₃	8.2110	3.79***
γ₄	-5.3877	-3.05***
γ₅	3.8823	2.31**
γ₆	-5.4303	-2.59***
γ₇	5.1713	2.16**

V-Lab

Sfd Sa Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Sfd Sa Analyses