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	3.0443	3.22***
α ARCH Response to squared shocks	0.0194	2.45**
β GARCH Volatility persistence	0.9563	42.95***

γ₁	0.0670	0.71
γ₂	-0.2432	-2.00**
γ₃	0.4349	5.96***
γ₄	-0.4160	-8.40***
γ₅	0.2004	5.75***
γ₆	-0.0502	-1.66*
γ₇	0.0612	2.10**
γ₈	-0.0415	-1.43
γ₉	-0.1363	-3.32***

V-Lab

Derwent London PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Derwent London PLC Analyses