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	1.0144	2.24**
α ARCH Response to squared shocks	0.1471	0.31
β GARCH Volatility persistence	0.8529	1.80*

γ₁	-0.0395	-0.03
γ₂	0.0459	0.04
γ₃	-0.0166	-0.42

V-Lab

Press Kogyo Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Press Kogyo Co Ltd Analyses