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	3.8106	6.15***
α ARCH Response to squared shocks	0.0978	8.24***
β GARCH Volatility persistence	0.8640	39.76***

γ₁	0.0212	3.39***
γ₂	-0.0326	-3.68***
γ₃	0.0349	5.70***

V-Lab

Warehouses De Pauw CVA Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Warehouses De Pauw CVA Analyses