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	2.0776	5.02***
α ARCH Response to squared shocks	0.0917	8.96***
β GARCH Volatility persistence	0.8705	54.36***

γ₁	-0.3412	-5.16***
γ₂	0.5403	5.11***
γ₃	-0.3969	-4.70***
γ₄	0.3914	5.42***
γ₅	-0.2723	-5.03***
γ₆	0.1038	2.31**
γ₇	0.0018	0.04
γ₈	-0.0235	-0.58
γ₉	-0.1134	-2.08**

V-Lab

Village Super Market Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Village Super Market Inc Analyses