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	91
α ARCH Response to squared shocks	0.1233	0.05
β GARCH Volatility persistence	0.6817	24.79***
γ leverage Additional response to negative shocks	-0.1233	-0.03
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.01
λ₂ forecast adj. Forecast performance sensitivity	0.8552	0.06
λ₃ tau persistence Long-term factor persistence	0.1448	0.09

V-Lab

Johnson Service Group PLC ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Johnson Service Group PLC Analyses