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	1.0759	4.10***
α ARCH Response to squared shocks	0.1983	15.34***
β GARCH Volatility persistence	0.8015	62.04***

γ₁	-1.0852	-5.56***
γ₂	1.5804	6.14***
γ₃	-0.5812	-5.54***
γ₄	0.0887	1.19
γ₅	0.1374	1.80*
γ₆	-0.3077	-3.97***
γ₇	0.1752	1.84*
γ₈	0.1949	1.46

V-Lab

Sonmez Filament Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Sonmez Filament Analyses