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	0.7451	5.83***
α ARCH Response to squared shocks	0.1725	10.92***
β GARCH Volatility persistence	0.7704	36.54***

γ₁	0.3667	5.07***
γ₂	-0.4673	-4.10***
γ₃	-0.1683	-1.95*
γ₄	0.5177	6.66***
γ₅	-0.2108	-2.78***
γ₆	-0.1952	-2.36**
γ₇	0.2512	2.44**

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Nippon Info DEV Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Nippon Info DEV Co Ltd Analyses