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	1.8302	4.24***
α ARCH Response to squared shocks	0.1451	15.69***
β GARCH Volatility persistence	0.8470	87.98***

γ₁	-0.1041	-3.05***
γ₂	0.2176	4.64***
γ₃	-0.2281	-8.42***
γ₄	0.2223	7.55***
γ₅	-0.2334	-6.04***

V-Lab

Nippon Pigment Holdings Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Nippon Pigment Holdings Co Ltd Analyses