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	1.1401	5.93***
α ARCH Response to squared shocks	0.1256	4.82***
β GARCH Volatility persistence	0.7157	15.57***

γ₁	-0.8509	-2.71***
γ₂	0.3642	0.72
γ₃	1.0969	3.25***
γ₄	-0.4225	-2.01**
γ₅	-0.4106	-2.63***
γ₆	0.3738	2.46**
γ₇	-0.3816	-2.25**
γ₈	0.6544	3.59***
γ₉	-0.8910	-3.94***
γ₁₀	0.7582	2.04**

V-Lab

Cadence Capital Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Cadence Capital Ltd Analyses