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	5.0000	1.09
α ARCH Response to squared shocks	0.0535	20.52***
β GARCH Volatility persistence	0.9276	616.75***
γ leverage Additional response to negative shocks	0.0379	8.48***

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Tokyo Auto Machine Works Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Tokyo Auto Machine Works Ltd Analyses