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	1.1357	7.24***
α ARCH Response to squared shocks	0.2298	24.39***
β GARCH Volatility persistence	0.7697	81.31***

γ₁	0.0268	1.08
γ₂	-0.0846	-2.70***
γ₃	0.1186	5.46***

V-Lab

Cyient Limited Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Cyient Limited Analyses