How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	43.2569	2.91***
α ARCH Response to squared shocks	0.2046	9.75***
β GARCH Volatility persistence	0.7757	28.75***

γ₁	5.7359	6.37***
γ₂	-8.3360	-6.83***
γ₃	4.3018	7.46***

V-Lab

Arqit Quantum Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Arqit Quantum Inc Analyses