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	0.6260	3.02***
α ARCH Response to squared shocks	0.0773	6.99***
β GARCH Volatility persistence	0.9152	71.45***

γ₁	-0.1469	-4.72***
γ₂	0.1980	3.79***
γ₃	-0.1072	-2.39**

V-Lab

Nederman Holding AB Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Nederman Holding AB Analyses