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	1.2623	7.58***
α ARCH Response to squared shocks	0.0977	8.95***
β GARCH Volatility persistence	0.8914	73.36***

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Van Lanschot Kempen NV Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Van Lanschot Kempen NV Analyses