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	0.9873	5.50***
α ARCH Response to squared shocks	0.0917	11.49***
β GARCH Volatility persistence	0.8929	92.81***

γ₁	0.3017	3.77***
γ₂	-0.7929	-6.48***
γ₃	0.7989	9.49***
γ₄	-0.2717	-3.67***
γ₅	-0.2349	-3.31***
γ₆	0.4487	5.62***
γ₇	-0.5310	-5.98***
γ₈	0.5042	3.66***

V-Lab

Hanshin Diesel Works Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Hanshin Diesel Works Ltd Analyses