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	3.9529	4.26***
α ARCH Response to squared shocks	0.1780	4.16***
β GARCH Volatility persistence	0.6154	8.30***

γ₁	-0.4877	-0.61
γ₂	0.6021	0.49
γ₃	0.9592	1.44
γ₄	-1.5939	-4.34***
γ₅	-0.0751	-0.26
γ₆	1.7584	6.38***
γ₇	-2.0628	-7.35***
γ₈	1.2501	4.66***
γ₉	-0.2712	-1.08
γ₁₀	0.0683	0.22

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Text SA Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Text SA Analyses