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	0.5266	5.28***
α ARCH Response to squared shocks	0.1056	3.01***
β GARCH Volatility persistence	0.6162	4.17***

γ₁	-3.0056	-1.24
γ₂	1.7720	0.47
γ₃	1.5648	0.55
γ₄	-2.3861	-0.80
γ₅	5.2553	1.30
γ₆	-8.3027	-1.32
γ₇	11.1065	1.63
γ₈	-13.4938	-2.54**

V-Lab

Versabank Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Versabank Analyses