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	1.1435	5.92***
α ARCH Response to squared shocks	0.1259	4.84***
β GARCH Volatility persistence	0.7194	15.99***

γ₁	-0.8505	-2.74***
γ₂	0.3697	0.73
γ₃	1.0983	3.26***
γ₄	-0.4482	-2.14**
γ₅	-0.3766	-2.44**
γ₆	0.3381	2.24**
γ₇	-0.3330	-1.97**
γ₈	0.5998	3.30***
γ₉	-0.8569	-3.90***
γ₁₀	0.7432	2.10**

V-Lab

Cadence Capital Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Cadence Capital Ltd Analyses