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	0.5431	3.18***
α ARCH Response to squared shocks	0.1049	12.71***
β GARCH Volatility persistence	0.8908	102.64***

γ₁	-0.2087	-3.25***
γ₂	0.1663	1.77*
γ₃	0.2191	2.47**
γ₄	-0.4007	-3.97***
γ₅	0.4458	3.95***

V-Lab

Yamadai Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Yamadai Corp Analyses