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	2.3562	2.78***
α ARCH Response to squared shocks	0.1593	6.51***
β GARCH Volatility persistence	0.8321	35.87***

γ₁	0.7323	0.78
γ₂	-2.1859	-1.36
γ₃	3.3107	2.73***
γ₄	-5.4386	-3.08***
γ₅	8.0205	2.73***
γ₆	-6.2874	-2.56**
γ₇	1.9067	2.23**
γ₈	-0.2508	-0.52

V-Lab

Polar Capital Holdings plc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Polar Capital Holdings plc Analyses