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	3.2977	1.32
α ARCH Response to squared shocks	0.1687	5.89***
β GARCH Volatility persistence	0.8245	31.28***

γ₁	0.7284	1.69*
γ₂	-1.5323	-2.75***
γ₃	1.8831	3.41***
γ₄	-1.7434	-1.94*
γ₅	0.7678	0.83
γ₆	-0.2385	-0.38
γ₇	0.0005	0.00
γ₈	0.8011	2.36**
γ₉	-1.5915	-5.87***
γ₁₀	1.6959	2.69***

V-Lab

Aitken Spence Plc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Aitken Spence Plc Analyses