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	1.2625	7.19***
α ARCH Response to squared shocks	0.1376	8.51***
β GARCH Volatility persistence	0.8036	34.86***

γ₁	-0.1592	-4.26***
γ₂	0.3454	5.84***
γ₃	-0.3251	-7.92***
γ₄	0.1767	4.87***
γ₅	-0.0541	-1.30
γ₆	0.0550	0.85

V-Lab

Yutaka Foods Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Yutaka Foods Corp Analyses