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	0.4646	4.32***
α ARCH Response to squared shocks	0.1025	9.25***
β GARCH Volatility persistence	0.8725	61.82***

γ₁	-0.5003	-8.39***
γ₂	0.8190	9.38***
γ₃	-0.5870	-9.47***
γ₄	0.4828	7.18***
γ₅	-0.3844	-4.89***
γ₆	0.0576	0.44

V-Lab

Kawasaki Setsubi Kogyo Co Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Kawasaki Setsubi Kogyo Co Analyses