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	0.0225	8.18***
α ARCH Response to squared shocks	0.0221	21.68***
β GARCH Volatility persistence	0.9641	1,338.97***
γ leverage Additional response to negative shocks	0.0258	15.24***

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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