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	0.4525	7.21***
α ARCH Response to squared shocks	0.0723	11.55***
β GARCH Volatility persistence	0.8897	305.94***
γ leverage Additional response to negative shocks	0.0761	7.54***

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Futaba Industrial Co Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Futaba Industrial Co Ltd Analyses