How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.2186	1.25
β GARCH Volatility persistence	0.7026	38.35***
γ leverage Additional response to negative shocks	0.1576	0.48
λ₁ tau intercept Baseline long-term coefficient	6.0734	0.01
λ₂ forecast adj. Forecast performance sensitivity	0.1444	2.53**
λ₃ tau persistence Long-term factor persistence	0.8556	12.28***

V-Lab

Cyient Limited ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Cyient Limited Analyses