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	2.7400	2.17**
α ARCH Response to squared shocks	0.1195	4.63***
β GARCH Volatility persistence	0.8661	33.04***

γ₁	-1.3418	-0.86
γ₂	0.0183	0.01
γ₃	3.6593	5.11***
γ₄	-3.9987	-3.79***
γ₅	3.0830	2.54**
γ₆	-2.9645	-1.96*
γ₇	1.7473	0.80
γ₈	1.2437	0.57
γ₉	-1.9486	-1.24
γ₁₀	-1.0102	-0.61

V-Lab

Softlogic Capital Plc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Softlogic Capital Plc Analyses