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	1.4019	7.32***
α ARCH Response to squared shocks	0.2035	4.45***
β GARCH Volatility persistence	0.7176	13.26***

γ₁	-0.6007	-3.88***
γ₂	1.4404	4.53***

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Yamaichi Real Estate Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Yamaichi Real Estate Co Ltd Analyses