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	1.5666	3.40***
α ARCH Response to squared shocks	0.0771	5.55***
β GARCH Volatility persistence	0.9195	65.38***

γ₁	-0.2093	-0.99
γ₂	0.2338	0.82
γ₃	-0.5708	-1.03
γ₄	1.7900	1.37
γ₅	-1.8499	-1.47
γ₆	0.2588	0.43
γ₇	0.7755	1.52
γ₈	-0.6254	-1.59
γ₉	0.2170	0.85

V-Lab

Johnson Service Group PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Johnson Service Group PLC Analyses