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	0.2862	2.60***
α ARCH Response to squared shocks	0.0559	4.99***
β GARCH Volatility persistence	0.9087	51.65***

γ₁	-0.3256	-3.39***
γ₂	0.3293	2.71***
γ₃	0.1006	1.97**
γ₄	-0.2746	-5.53***
γ₅	0.1634	2.20**

V-Lab

Hokkaidenko Corporation Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Hokkaidenko Corporation Analyses