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	1.1418	0.06
α ARCH Response to squared shocks	0.0919	0.01
β GARCH Volatility persistence	0.9081	0.15

γ₁	-0.2630	-0.03
γ₂	0.3396	0.03
γ₃	-0.0949	-0.02
γ₄	0.0244	0.01
γ₅	-0.0047	-0.01

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James Hardie Industries PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other James Hardie Industries PLC Analyses