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	5.0000	6.65***
α ARCH Response to squared shocks	0.0764	23.98***
β GARCH Volatility persistence	0.8864	519.88***
γ leverage Additional response to negative shocks	0.0744	14.22***

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Nippon Shindo Co Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Nippon Shindo Co Ltd Analyses