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	0.5937	1.18
α ARCH Response to squared shocks	0.9897	40.53***
β GARCH Volatility persistence	0.0000	0.00

γ₁	11.4769	1.10
γ₂	-33.3499	-2.12**
γ₃	37.2632	3.48***
γ₄	-25.4698	-3.07***
γ₅	29.7295	2.69***
γ₆	-44.9305	-3.83***
γ₇	32.2310	5.48***
γ₈	9.0619	1.14
γ₉	-39.8539	-2.95***
γ₁₀	71.3677	4.42***

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Sherborne Investors (Guernsey) C Limited Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Sherborne Investors (Guernsey) C Limited Analyses