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	0.4668	4.99***
α ARCH Response to squared shocks	0.1166	12.75***
β GARCH Volatility persistence	0.8623	81.91***

γ₁	-0.0149	-0.34
γ₂	-0.1207	-1.87*
γ₃	0.2592	5.67***
γ₄	-0.2563	-6.06***
γ₅	0.2339	5.42***
γ₆	-0.1193	-2.69***
γ₇	0.0120	0.19

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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