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	2.9989	2.81***
α ARCH Response to squared shocks	0.1079	11.33***
β GARCH Volatility persistence	0.8815	65.21***

γ₁	-0.1681	-2.91***
γ₂	0.3164	4.01***
γ₃	-0.2794	-6.20***
γ₄	0.2776	5.33***
γ₅	-0.2500	-4.50***

V-Lab

CIE Automotive SA Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other CIE Automotive SA Analyses