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	1.3339	3.11***
α ARCH Response to squared shocks	0.1509	14.20***
β GARCH Volatility persistence	0.8420	82.77***

γ₁	-0.8564	-5.60***
γ₂	1.4777	6.91***
γ₃	-0.9585	-7.73***
γ₄	0.3902	3.73***
γ₅	0.1227	1.22
γ₆	-0.4125	-4.06***
γ₇	0.4105	3.03***

V-Lab

Taihei Machinery Works Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Taihei Machinery Works Ltd Analyses