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	1.0692	3.09***
α ARCH Response to squared shocks	0.1179	10.96***
β GARCH Volatility persistence	0.8711	76.78***

γ₁	0.1045	0.69
γ₂	0.0806	0.39
γ₃	-0.6874	-4.70***
γ₄	1.1166	7.03***
γ₅	-1.2186	-8.97***
γ₆	0.8543	5.44***
γ₇	-0.1678	-1.05
γ₈	-0.1525	-1.07
γ₉	0.1184	0.72
γ₁₀	-0.0240	-0.12

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Kyoritsu Air Tech Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Kyoritsu Air Tech Inc Analyses