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	4.2102	10.10***
α ARCH Response to squared shocks	0.0554	7.42***
β GARCH Volatility persistence	0.9144	202.43***
γ leverage Additional response to negative shocks	0.0299	2.26**

V-Lab

Tenaris SA Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Tenaris SA Analyses