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	0.2067	4.92***
α ARCH Response to squared shocks	0.1136	6.55***
β GARCH Volatility persistence	0.8083	25.43***

γ₁	0.0305	0.16
γ₂	-0.2262	-0.76
γ₃	0.7081	3.15***
γ₄	-1.2703	-6.62***
γ₅	1.4676	6.80***
γ₆	-1.1423	-4.21***
γ₇	1.0492	2.44**
γ₈	-1.0274	-1.67*
γ₉	0.5642	0.98
γ₁₀	-0.5156	-0.97

V-Lab

Vitura SA Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Vitura SA Analyses