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	1.0398	7.19***
α ARCH Response to squared shocks	0.0856	13.40***
β GARCH Volatility persistence	0.9144	143.45***

γ₁	-0.0092	-0.30
γ₂	0.0076	0.19

V-Lab

Tenaris SA Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Tenaris SA Analyses