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	0.6532	2.52**
α ARCH Response to squared shocks	0.1644	12.36***
β GARCH Volatility persistence	0.8190	65.17***

γ₁	-1.2506	-4.39***
γ₂	2.2908	6.16***
γ₃	-1.5943	-6.26***
γ₄	0.2519	0.90
γ₅	0.8182	3.26***
γ₆	-1.0452	-5.40***
γ₇	1.1101	6.46***
γ₈	-0.7477	-4.14***
γ₉	0.0864	0.53
γ₁₀	0.1567	0.64

V-Lab

Kyoshin Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Kyoshin Co Ltd Analyses