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	2.8090	4.36***
α ARCH Response to squared shocks	0.0910	6.30***
β GARCH Volatility persistence	0.8727	48.10***

γ₁	0.5256	4.50***
γ₂	-1.0210	-5.22***
γ₃	0.9298	5.93***
γ₄	-0.6504	-4.42***
γ₅	0.3576	2.55**
γ₆	-0.4329	-2.91***
γ₇	0.5600	3.88***
γ₈	-0.3454	-3.08***
γ₉	0.1412	1.47
γ₁₀	-0.4202	-3.37***

V-Lab

Gooch & Housego PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Gooch & Housego PLC Analyses