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	1.5317	3.74***
α ARCH Response to squared shocks	0.1141	8.33***
β GARCH Volatility persistence	0.8754	60.83***

γ₁	-0.3091	-3.38***
γ₂	0.6164	4.67***
γ₃	-0.6759	-8.02***
γ₄	0.7036	6.98***
γ₅	-0.4905	-4.29***
γ₆	0.1746	1.25

V-Lab

Tohoku Steel Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Tohoku Steel Co Ltd Analyses