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	1.5368	0.00
α ARCH Response to squared shocks	0.1957	0.00
β GARCH Volatility persistence	0.8043	0.00

γ₁	12.5778	0.00
γ₂	-50.4450	0.00
γ₃	68.8339	0.00
γ₄	-39.0910	0.00
γ₅	11.6591	0.00
γ₆	-1.2157	0.00
γ₇	-2.5496	0.00
γ₈	-3.0418	0.00
γ₉	4.0197	0.00
γ₁₀	0.5333	0.00

V-Lab

Tsi Co., Ltd. Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Tsi Co., Ltd. Analyses