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	1.0994	11.82***
α ARCH Response to squared shocks	0.0472	11.79***
β GARCH Volatility persistence	0.9466	213.05***

γ₁	-0.0414	-7.51***
γ₂	0.0515	5.67***
γ₃	-0.0040	-0.57
γ₄	-0.0058	-0.69

V-Lab

AT&T Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other AT&T Inc Analyses