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	21
α ARCH Response to squared shocks	0.1516	0.13
β GARCH Volatility persistence	0.6564	14.18***
γ leverage Additional response to negative shocks	-0.1516	-0.07
λ₁ tau intercept Baseline long-term coefficient	9.8194	0.15
λ₂ forecast adj. Forecast performance sensitivity	0.0997	0.15
λ₃ tau persistence Long-term factor persistence	0.9003	12.55***

V-Lab

Firstgroup PLC ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Firstgroup PLC Analyses