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	1.4211	2.31**
α ARCH Response to squared shocks	0.1963	6.90***
β GARCH Volatility persistence	0.8034	28.30***

γ₁	-2.5396	-1.42
γ₂	-1.3052	-0.43
γ₃	7.1670	2.37**
γ₄	-0.4983	-0.11
γ₅	-6.1608	-1.27
γ₆	4.3545	1.50

V-Lab

Sfd Sa Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Sfd Sa Analyses