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	3.3487	4.00***
α ARCH Response to squared shocks	0.0236	11.02***
β GARCH Volatility persistence	0.9393	837.88***
γ leverage Additional response to negative shocks	0.0743	13.52***

V-Lab

Barratt Redrow PLC Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Barratt Redrow PLC Analyses