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	36
α ARCH Response to squared shocks	0.8067
β GARCH Volatility persistence	0.4425
γ leverage Additional response to negative shocks	-0.4984
λ₁ tau intercept Baseline long-term coefficient	9.5847
λ₂ forecast adj. Forecast performance sensitivity	0.9997
λ₃ tau persistence Long-term factor persistence	0.0000

V-Lab

Cynca Nordic AB ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Cynca Nordic AB Analyses