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	0.8083	0.02
α ARCH Response to squared shocks	0.1326	0.00
β GARCH Volatility persistence	0.8674	0.02

γ₁	-0.1495	0.00
γ₂	0.0054	0.00
γ₃	0.2893	0.01
γ₄	-0.1116	0.00

V-Lab

Yuke'S Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Yuke'S Co Ltd Analyses