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	0.6983	4.12***
α ARCH Response to squared shocks	0.1016	11.46***
β GARCH Volatility persistence	0.8866	86.38***

γ₁	0.0109	0.08
γ₂	-0.0090	-0.04
γ₃	-0.6066	-2.17**
γ₄	1.6022	4.49***
γ₅	-1.6746	-6.12***
γ₆	0.8638	4.92***
γ₇	-0.3448	-1.71*
γ₈	0.5292	1.96*
γ₉	-0.7898	-2.59***
γ₁₀	0.6644	2.00**

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Nihon Kogyo Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Nihon Kogyo Co Ltd Analyses