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	1.0321	3.13***
α ARCH Response to squared shocks	0.1128	9.67***
β GARCH Volatility persistence	0.8626	65.01***

γ₁	0.0795	1.07
γ₂	-0.3139	-3.10***
γ₃	0.5323	8.02***
γ₄	-0.5485	-8.20***
γ₅	0.3963	4.91***
γ₆	-0.1698	-2.08**
γ₇	-0.0816	-0.90

V-Lab

Nikki Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Nikki Co Ltd Analyses