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	1.8122	3.58***
α ARCH Response to squared shocks	0.2578	11.45***
β GARCH Volatility persistence	0.6771	30.09***

γ₁	-3.7977	-8.02***
γ₂	6.7542	8.65***
γ₃	-5.0418	-8.62***
γ₄	3.7555	9.36***
γ₅	-2.2338	-6.20***
γ₆	0.0385	0.11
γ₇	1.2984	3.70***
γ₈	-1.3392	-2.13**

V-Lab

Nagaoka International Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Nagaoka International Corp Analyses