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	0.4667	4.99***
α ARCH Response to squared shocks	0.1162	12.75***
β GARCH Volatility persistence	0.8627	82.20***

γ₁	-0.0154	-0.35
γ₂	-0.1197	-1.85*
γ₃	0.2583	5.65***
γ₄	-0.2559	-6.06***
γ₅	0.2345	5.44***
γ₆	-0.1216	-2.74***
γ₇	0.0175	0.27

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Nichiwa Sangyo Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Nichiwa Sangyo Co Ltd Analyses