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	0.5629	3.82***
α ARCH Response to squared shocks	0.1449	11.01***
β GARCH Volatility persistence	0.8328	57.49***

γ₁	-0.9526	-6.59***
γ₂	1.2678	5.61***
γ₃	-0.5710	-3.60***
γ₄	0.8479	5.80***
γ₅	-1.5213	-7.56***
γ₆	2.1876	7.47***

V-Lab

Odawara Auto-Machine Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Odawara Auto-Machine Analyses