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	1.0401	7.14***
α ARCH Response to squared shocks	0.0854	12.41***
β GARCH Volatility persistence	0.9146	133.49***

γ₁	-0.0102	-0.10
γ₂	0.0022	0.02
γ₃	0.0061	0.11
γ₄	-0.0029	-0.04

V-Lab

Tenaris SA Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Tenaris SA Analyses