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	5.0000	0.01
α ARCH Response to squared shocks	0.0079	2.67***
β GARCH Volatility persistence	0.9947	1,072.98***
γ leverage Additional response to negative shocks	-0.0050	-1.79*

V-Lab

Town Centre Securities PLC Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Town Centre Securities PLC Analyses