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	0.7914	4.36***
α ARCH Response to squared shocks	0.1439	12.98***
β GARCH Volatility persistence	0.8453	73.53***

γ₁	-0.1445	-3.93***
γ₂	0.2202	4.17***
γ₃	-0.2415	-5.71***
γ₄	0.3589	5.09***
γ₅	-0.3213	-3.33***

V-Lab

Daito Chemix Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Daito Chemix Corp Analyses