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	1.0111	4.88***
α ARCH Response to squared shocks	0.0899	11.11***
β GARCH Volatility persistence	0.9095	126.82***

γ₁	-0.1313	-1.58
γ₂	0.1504	1.43
γ₃	0.0010	0.02
γ₄	-0.0218	-0.59
γ₅	-0.0015	-0.03

V-Lab

Barratt Redrow PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Barratt Redrow PLC Analyses