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	2.6926	1.20
α ARCH Response to squared shocks	0.0280	12.68***
β GARCH Volatility persistence	0.9645	797.09***
γ leverage Additional response to negative shocks	0.0150	3.92***

V-Lab

Big Yellow Group PLC Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Big Yellow Group PLC Analyses