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	0.5599	3.78***
α ARCH Response to squared shocks	0.1454	11.00***
β GARCH Volatility persistence	0.8325	57.79***

γ₁	-0.9643	-6.55***
γ₂	1.2838	5.57***
γ₃	-0.5890	-3.62***
γ₄	0.8870	5.83***
γ₅	-1.5544	-7.62***
γ₆	2.1675	7.61***

V-Lab

Odawara Auto-Machine Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Odawara Auto-Machine Analyses