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	0.0588	3.35***
α ARCH Response to squared shocks	0.1516	8.80***
β GARCH Volatility persistence	0.8032	37.94***
γ leverage Additional response to negative shocks	0.0723	5.11***

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NH Investment & Securities Co Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other NH Investment & Securities Co Ltd Analyses