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	0.7872	0.15
α ARCH Response to squared shocks	0.1601	0.01
β GARCH Volatility persistence	0.8399	0.04

γ₁	-1.1324	-0.12
γ₂	1.5678	0.10
γ₃	-0.6652	-0.05
γ₄	0.1355	0.01
γ₅	0.4019	0.02
γ₆	-0.4474	-0.03
γ₇	0.0653	0.01

V-Lab

Nichidai Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Nichidai Corp Analyses