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	1.7405	9.00***
α ARCH Response to squared shocks	0.0305	15.54***
β GARCH Volatility persistence	0.9282	588.94***
γ leverage Additional response to negative shocks	0.0758	16.15***

V-Lab

Tenaris SA Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Tenaris SA Analyses