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	1.0953	4.20***
α ARCH Response to squared shocks	0.1086	10.85***
β GARCH Volatility persistence	0.8746	77.06***

γ₁	0.2380	3.52***
γ₂	-0.4786	-4.93***
γ₃	0.4575	7.78***
γ₄	-0.4511	-7.19***
γ₅	0.4237	6.24***
γ₆	-0.3461	-5.13***
γ₇	0.2785	2.04**

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Tokyo Auto Machine Works Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Tokyo Auto Machine Works Ltd Analyses