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	1.1297	7.31***
α ARCH Response to squared shocks	0.2300	24.53***
β GARCH Volatility persistence	0.7697	81.91***

γ₁	0.0196	0.73
γ₂	-0.0761	-2.27**
γ₃	0.1170	5.38***

V-Lab

Cyient Limited Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Cyient Limited Analyses