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	3.05***
α ARCH Response to squared shocks	0.0425	8.81***
β GARCH Volatility persistence	0.9574	332.65***
γ leverage Additional response to negative shocks	0.0004	0.04

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Choei Inc Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Choei Inc Analyses