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	0.6992	4.10***
α ARCH Response to squared shocks	0.1024	11.53***
β GARCH Volatility persistence	0.8860	86.07***

γ₁	0.0078	0.06
γ₂	-0.0055	-0.02
γ₃	-0.6168	-2.21**
γ₄	1.6319	4.53***
γ₅	-1.7032	-6.11***
γ₆	0.8678	5.01***
γ₇	-0.3269	-1.69*
γ₈	0.5006	1.90*
γ₉	-0.7671	-2.52**
γ₁₀	0.6353	1.83*

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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