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	5.0000	2.09**
α ARCH Response to squared shocks	0.1067	11.82***
β GARCH Volatility persistence	0.9144	289.82***
γ leverage Additional response to negative shocks	-0.0420	-3.38***

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Operadora De Sites Mexicanos Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Operadora De Sites Mexicanos Analyses