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	0.3096	6.60***
α ARCH Response to squared shocks	0.0938	18.24***
β GARCH Volatility persistence	0.8957	579.76***
γ leverage Additional response to negative shocks	0.0209	2.25**

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Teva Pharmaceutical Industries Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Teva Pharmaceutical Industries Ltd Analyses