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	0.8059	3.55***
α ARCH Response to squared shocks	0.1181	12.54***
β GARCH Volatility persistence	0.8671	85.58***

γ₁	0.1027	2.19**
γ₂	-0.3016	-4.35***
γ₃	0.4003	8.10***
γ₄	-0.4151	-8.60***
γ₅	0.3567	6.62***
γ₆	-0.1287	-2.29**
γ₇	-0.1275	-1.77*

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Kawagishi Bridge Wks Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Kawagishi Bridge Wks Co Ltd Analyses