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	5.0000	1.95*
α ARCH Response to squared shocks	0.0761	24.50***
β GARCH Volatility persistence	0.9291	588.03***
γ leverage Additional response to negative shocks	-0.0105	-2.18**

V-Lab

Yutaka Foods Corp Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Yutaka Foods Corp Analyses