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	0.0187	1.57
α ARCH Response to squared shocks	0.0194	4.94***
β GARCH Volatility persistence	0.9642	338.54***
γ leverage Additional response to negative shocks	0.0314	4.78***

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ExxonMobil Holdings Corp Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other ExxonMobil Holdings Corp Analyses