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	0.0219	2.00**
α ARCH Response to squared shocks	0.0223	5.45***
β GARCH Volatility persistence	0.9640	334.73***
γ leverage Additional response to negative shocks	0.0257	3.79***

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Wal-Mart Stores Inc Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Wal-Mart Stores Inc Analyses