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	0.9409	4.72***
α ARCH Response to squared shocks	0.0972	0.19
β GARCH Volatility persistence	0.9028	1.75*

γ₁	-0.4083	-0.24
γ₂	0.6310	0.29
γ₃	-0.3473	-0.37

V-Lab

Cellavision AB Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Cellavision AB Analyses