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	2.0910	3.91***
α ARCH Response to squared shocks	0.1418	6.37***
β GARCH Volatility persistence	0.8459	38.32***

γ₁	-0.0559	-4.81***
γ₂	0.0989	6.63***
γ₃	-0.0715	-6.33***
γ₄	0.0510	2.54**

V-Lab

Futaba Industrial Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Futaba Industrial Co Ltd Analyses