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	5.2615	3.40***
α ARCH Response to squared shocks	0.0924	8.94***
β GARCH Volatility persistence	0.8870	58.57***

γ₁	-0.3477	-1.61
γ₂	1.0412	2.36**
γ₃	-1.3539	-3.18***
γ₄	1.1223	3.51***
γ₅	-0.6847	-3.28***
γ₆	0.2659	2.08**
γ₇	-0.0960	-1.11
γ₈	0.1804	2.52**
γ₉	-0.2041	-3.24***
γ₁₀	0.0619	0.72

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Bodycote PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Bodycote PLC Analyses