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	1.4888	4.11***
α ARCH Response to squared shocks	0.2297	6.72***
β GARCH Volatility persistence	0.7695	22.63***

γ₁	-3.6964	-1.62
γ₂	4.8295	1.10
γ₃	6.2724	0.92
γ₄	-13.8225	-1.74*
γ₅	7.4937	1.72*
γ₆	-2.4849	-1.26
γ₇	2.1970	1.21
γ₈	-0.1916	-0.14
γ₉	-0.7966	-1.19
γ₁₀	-0.2899	-0.51

V-Lab

Cynca Nordic AB Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Cynca Nordic AB Analyses