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	71
α ARCH Response to squared shocks	0.0827	1.06
β GARCH Volatility persistence	0.8644	197.85***
γ leverage Additional response to negative shocks	0.1018	0.68
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.3061	1.17
λ₃ tau persistence Long-term factor persistence	0.6939	15.67***

V-Lab

Gooch & Housego PLC ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Gooch & Housego PLC Analyses