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	2.1894	1.99**
α ARCH Response to squared shocks	0.2649	7.08***
β GARCH Volatility persistence	0.7323	20.13***

γ₁	-5.2402	-2.11**
γ₂	16.4317	2.50**
γ₃	-17.8488	-2.71***
γ₄	7.3524	2.43**
γ₅	-0.8170	-1.01
γ₆	-0.1033	-0.24
γ₇	0.1441	0.37
γ₈	0.6947	1.97**
γ₉	-0.7765	-2.61***
γ₁₀	-0.3669	-0.97

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Ceres Power Holdings plc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Ceres Power Holdings plc Analyses