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	0.7407	3.67***
α ARCH Response to squared shocks	0.2236	6.98***
β GARCH Volatility persistence	0.7747	24.67***

γ₁	-4.4032	-1.83*
γ₂	6.5235	1.45
γ₃	4.2673	0.69
γ₄	-12.4189	-1.71*
γ₅	7.1214	1.72*
γ₆	-2.6125	-1.25
γ₇	2.5419	1.21
γ₈	-0.5748	-0.35
γ₉	-0.6025	-0.78
γ₁₀	-0.5084	-0.87

V-Lab

Cynca Nordic AB Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Cynca Nordic AB Analyses