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	0.9340	1.82*
α ARCH Response to squared shocks	0.0998	2.10**
β GARCH Volatility persistence	0.9001	18.96***

γ₁	1.9112	3.10***
γ₂	-3.5795	-3.45***
γ₃	2.7149	2.87***
γ₄	-1.1179	-1.29
γ₅	-1.0010	-1.10
γ₆	1.4818	2.01**
γ₇	-0.2060	-0.31
γ₈	0.6059	0.60
γ₉	-4.8755	-3.81***
γ₁₀	9.3609	5.91***

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TSS Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other TSS Inc Analyses