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	1.7018	3.45***
α ARCH Response to squared shocks	0.0395	0.03
β GARCH Volatility persistence	0.9605	0.78

γ₁	-0.0435	-0.01
γ₂	0.0524	0.01

V-Lab

Big Yellow Group PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Big Yellow Group PLC Analyses