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	0.9634	5.40***
α ARCH Response to squared shocks	0.1320	11.36***
β GARCH Volatility persistence	0.8491	63.81***

γ₁	0.1248	1.19
γ₂	-0.1178	-0.72
γ₃	-0.3922	-3.04***
γ₄	0.6619	4.70***
γ₅	-0.0948	-0.74
γ₆	-0.4693	-4.04***
γ₇	0.3587	2.99***
γ₈	0.1797	1.43
γ₉	-0.8250	-5.79***
γ₁₀	1.2637	4.85***

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Akasaka Diesels Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Akasaka Diesels Ltd Analyses