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	0.9904	2.68***
α ARCH Response to squared shocks	0.0495	8.01***
β GARCH Volatility persistence	0.9447	139.71***

γ₁	-0.1062	-3.37***
γ₂	0.1414	3.04***
γ₃	-0.0406	-1.58
γ₄	0.0105	0.60
γ₅	0.0365	1.48

V-Lab

Great Portland Estates PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Great Portland Estates PLC Analyses