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	1.2064	0.15
α ARCH Response to squared shocks	0.0913	0.02
β GARCH Volatility persistence	0.9087	0.21

γ₁	-0.2050	-0.03
γ₂	0.2779	0.03
γ₃	-0.0939	-0.05
γ₄	0.0158	0.01

V-Lab

Firstgroup PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Firstgroup PLC Analyses