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	3.5311	4.69***
α ARCH Response to squared shocks	0.1133	8.25***
β GARCH Volatility persistence	0.8335	40.50***

γ₁	0.0836	0.46
γ₂	0.1920	0.70
γ₃	-0.5306	-2.80***
γ₄	0.3298	1.77*
γ₅	-0.3246	-1.59
γ₆	0.8388	5.25***
γ₇	-1.1518	-8.39***
γ₈	0.8401	3.88***
γ₉	-0.3701	-1.05

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Harima-Kyowa Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Harima-Kyowa Co Ltd Analyses