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	1.33
α ARCH Response to squared shocks	0.0496	22.40***
β GARCH Volatility persistence	0.9186	678.42***
γ leverage Additional response to negative shocks	0.0636	15.08***

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Kyoritsu Air Tech Inc Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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