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	81
α ARCH Response to squared shocks	0.3093	0.07
β GARCH Volatility persistence	0.8453	14.90***
γ leverage Additional response to negative shocks	-0.3093	-0.03
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.10
λ₂ forecast adj. Forecast performance sensitivity	0.3182	0.09
λ₃ tau persistence Long-term factor persistence	0.6818	0.48

V-Lab

First Capital Holdings Plc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other First Capital Holdings Plc Analyses