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	0.3349	4.05***
α ARCH Response to squared shocks	0.1736	11.12***
β GARCH Volatility persistence	0.7917	43.53***

γ₁	-0.4504	-5.25***
γ₂	0.2180	1.65*
γ₃	0.5782	6.48***
γ₄	-0.4713	-6.71***
γ₅	0.1575	2.23**
γ₆	0.0402	0.34

V-Lab

Tokyo Ichiban Foods Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Tokyo Ichiban Foods Co Ltd Analyses