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	0.9103	5.93***
α ARCH Response to squared shocks	0.1678	11.96***
β GARCH Volatility persistence	0.8321	59.02***

γ₁	-0.8125	-4.25***
γ₂	1.1875	4.85***
γ₃	-1.2679	-6.51***
γ₄	2.1041	6.73***
γ₅	-1.8781	-6.42***
γ₆	1.0526	4.94***

V-Lab

Cedar Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Cedar Co Ltd Analyses