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	0.4577	3.37***
α ARCH Response to squared shocks	0.0829	11.23***
β GARCH Volatility persistence	0.8960	82.21***

γ₁	-0.2620	-5.18***
γ₂	0.3758	5.41***
γ₃	-0.2845	-6.53***
γ₄	0.3445	8.04***
γ₅	-0.2393	-5.71***
γ₆	0.0574	0.89

V-Lab

Toso Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Toso Co Ltd Analyses