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	1.3581	9.42***
α ARCH Response to squared shocks	0.0846	17.35***
β GARCH Volatility persistence	0.8328	396.00***
γ leverage Additional response to negative shocks	0.1612	18.96***

V-Lab

Nidec Chaun-Choung Techno Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Nidec Chaun-Choung Techno Analyses