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	1.0657	4.53***
α ARCH Response to squared shocks	0.0163	11.78***
β GARCH Volatility persistence	0.9665	960.75***
γ leverage Additional response to negative shocks	0.0339	14.61***

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British Land Co PLC/The Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other British Land Co PLC/The Analyses