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	1.3291	10.16***
α ARCH Response to squared shocks	0.0894	8.59***
β GARCH Volatility persistence	0.8733	55.37***

γ₁	-0.0180	-5.46***
γ₂	0.0249	4.09***

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Asahimatsu Foods Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Asahimatsu Foods Co Ltd Analyses