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	0.9366	6.97***
α ARCH Response to squared shocks	0.0547	1.63
β GARCH Volatility persistence	0.8150	5.22***

V-Lab

Softwareone Holding AG Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Softwareone Holding AG Analyses