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	0.6344	0.00
α ARCH Response to squared shocks	0.2142	0.00
β GARCH Volatility persistence	0.7858	0.00

γ₁	2.0430	0.00
γ₂	-5.4674	0.00
γ₃	5.0738	0.01
γ₄	-1.5094	-0.01
γ₅	-1.3496	-0.02
γ₆	2.4691	0.00
γ₇	-1.7688	0.00
γ₈	0.8059	0.00

V-Lab

First Capital Holdings Plc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other First Capital Holdings Plc Analyses