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	3.2048	0.09
α ARCH Response to squared shocks	0.0043	4.75***
β GARCH Volatility persistence	0.9826	320.48***
γ leverage Additional response to negative shocks	0.0263	1.21

V-Lab

First Capital Holdings Plc Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other First Capital Holdings Plc Analyses