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	5.1561	3.38***
α ARCH Response to squared shocks	0.0919	8.92***
β GARCH Volatility persistence	0.8878	59.40***

γ₁	-0.3657	-1.66*
γ₂	1.0761	2.39**
γ₃	-1.3802	-3.19***
γ₄	1.1328	3.50***
γ₅	-0.6843	-3.25***
γ₆	0.2638	2.04**
γ₇	-0.0973	-1.12
γ₈	0.1854	2.59***
γ₉	-0.2133	-3.41***
γ₁₀	0.0978	1.14

V-Lab

Bodycote PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Bodycote PLC Analyses