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	0.1774	0.00
α ARCH Response to squared shocks	0.2177	0.00
β GARCH Volatility persistence	0.7823	0.00

γ₁	2.8831	0.00
γ₂	-5.7276	0.00
γ₃	-0.9192	0.00
γ₄	10.0029	0.00
γ₅	-8.1613	0.00
γ₆	0.2612	0.00
γ₇	3.0711	0.03
γ₈	-1.9270	0.00
γ₉	0.7854	0.00
γ₁₀	-0.2757	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