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	2.5381	10.67***
α ARCH Response to squared shocks	0.1091	7.81***
β GARCH Volatility persistence	0.8565	45.53***

V-Lab

Troax Group AB Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Troax Group AB Analyses