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	1.3399	5.28***
α ARCH Response to squared shocks	0.2095	17.68***
β GARCH Volatility persistence	0.7860	68.05***

γ₁	-0.0141	-1.91*
γ₂	0.0787	5.47***

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Moda-Innochips Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Moda-Innochips Co Ltd Analyses