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	1.5585	4.28***
α ARCH Response to squared shocks	0.1565	13.24***
β GARCH Volatility persistence	0.8300	68.16***

γ₁	0.2876	2.94***
γ₂	-0.3946	-2.48**
γ₃	-0.1699	-1.48
γ₄	0.8151	8.26***
γ₅	-0.9585	-9.62***
γ₆	0.5028	5.81***
γ₇	0.1301	1.58
γ₈	-0.4609	-5.10***
γ₉	0.3855	2.56**

V-Lab

Takasago Tekko Kk Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Takasago Tekko Kk Analyses