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	1.48
α ARCH Response to squared shocks	0.1004	31.96***
β GARCH Volatility persistence	0.8655	239.62***
γ leverage Additional response to negative shocks	0.0682	11.79***

V-Lab

Sonmez Filament Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Sonmez Filament Analyses