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	0.0563	3.80***
α ARCH Response to squared shocks	0.1370	3.95***
β GARCH Volatility persistence	0.8106	16.41***

γ₁	-17.0121	-4.11***
γ₂	21.2553	3.41***
γ₃	-5.4933	-1.51
γ₄	-10.5215	-2.50**
γ₅	27.1042	5.61***
γ₆	-23.8129	-5.68***

V-Lab

Canbridge Pharmaceuticals IN Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Canbridge Pharmaceuticals IN Analyses