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	1.5145	5.63***
α ARCH Response to squared shocks	0.0868	10.98***
β GARCH Volatility persistence	0.9092	129.96***

γ₁	-0.0409	-3.13***
γ₂	0.0724	3.40***
γ₃	-0.0459	-3.04***

V-Lab

Barratt Redrow PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Barratt Redrow PLC Analyses