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	0.8938	0.48
α ARCH Response to squared shocks	0.1521	0.01
β GARCH Volatility persistence	0.8479	0.08

γ₁	-0.2217	-0.01
γ₂	0.0057	0.00
γ₃	0.5378	0.06
γ₄	-0.5979	-0.17
γ₅	0.5079	1.26
γ₆	-0.4067	-0.24

V-Lab

Nippon Shindo Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Nippon Shindo Co Ltd Analyses