How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.0482	1.09
β GARCH Volatility persistence	0.9061	26.59***
γ leverage Additional response to negative shocks	-0.0482	-0.41
λ₁ tau intercept Baseline long-term coefficient	8.0302	2.87***
λ₂ forecast adj. Forecast performance sensitivity	0.0592	1.42
λ₃ tau persistence Long-term factor persistence	0.9385	10.15***

V-Lab

Big Yellow Group PLC ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Big Yellow Group PLC Analyses