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	1.0069	0.52
α ARCH Response to squared shocks	0.0926	0.03
β GARCH Volatility persistence	0.9074	0.34

γ₁	-0.4601	-0.02
γ₂	0.5575	0.03
γ₃	-0.0589	-0.01
γ₄	-0.2345	-0.07
γ₅	0.5231	0.25
γ₆	-1.2910	-4.45***

V-Lab

Skjern Bank Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Skjern Bank Analyses