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	0.37
α ARCH Response to squared shocks	0.0397	16.71***
β GARCH Volatility persistence	0.9623	714.94***
γ leverage Additional response to negative shocks	-0.0040	-0.93

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Hokkaidenko Corporation Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Hokkaidenko Corporation Analyses