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	0.7459	3.14***
α ARCH Response to squared shocks	0.1355	10.00***
β GARCH Volatility persistence	0.8519	55.86***

γ₁	0.2892	1.13
γ₂	-0.8726	-2.26**
γ₃	1.1663	4.68***
γ₄	-1.1741	-5.73***
γ₅	0.8392	3.80***
γ₆	0.0521	0.24
γ₇	-1.0037	-4.36***
γ₈	1.5831	6.38***
γ₉	-1.4593	-3.72***

V-Lab

Tomita Electric Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Tomita Electric Co Ltd Analyses