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	0.8449	5.85***
α ARCH Response to squared shocks	0.1662	0.91
β GARCH Volatility persistence	0.8337	4.61***

γ₁	0.2642	0.30
γ₂	-0.6296	-0.55
γ₃	0.1856	0.24
γ₄	-0.4400	-0.29
γ₅	3.0166	0.65
γ₆	-4.7533	-0.80
γ₇	3.6989	0.84
γ₈	-1.8613	-0.80
γ₉	0.5783	0.74
γ₁₀	-0.1679	-0.74

V-Lab

NH Investment & Securities Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other NH Investment & Securities Co Ltd Analyses