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	0.8774	3.89***
α ARCH Response to squared shocks	0.2284	6.90***
β GARCH Volatility persistence	0.7708	23.53***

γ₁	-5.0265	-1.86*
γ₂	7.4703	1.51
γ₃	4.2021	0.65
γ₄	-12.9336	-1.72*
γ₅	7.3775	1.74*
γ₆	-2.5589	-1.26
γ₇	2.3745	1.22
γ₈	-0.3747	-0.25
γ₉	-0.7357	-1.02
γ₁₀	-0.2766	-0.49

V-Lab

Cynca Nordic AB Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Cynca Nordic AB Analyses