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	0.8776	13.95***
α ARCH Response to squared shocks	0.0671	19.51***
β GARCH Volatility persistence	0.8666	536.23***
γ leverage Additional response to negative shocks	0.1192	21.14***

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Press Kogyo Co Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Press Kogyo Co Ltd Analyses