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	0.9320	0.25
α ARCH Response to squared shocks	0.0984	0.03
β GARCH Volatility persistence	0.9016	0.28

γ₁	-0.4392	-0.01
γ₂	0.0074	0.00
γ₃	0.7571	0.25
γ₄	-0.3018	-0.05
γ₅	0.0085	0.00
γ₆	-0.2366	-0.03

V-Lab

Cellavision AB Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Cellavision AB Analyses