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	1.9671	5.85***
α ARCH Response to squared shocks	0.1684	11.44***
β GARCH Volatility persistence	0.7974	52.46***

γ₁	0.0542	1.65*
γ₂	-0.1663	-3.27***
γ₃	0.2332	6.51***
γ₄	-0.1699	-4.86***
γ₅	0.0198	0.31

V-Lab

Kannanmaru Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Kannanmaru Corp Analyses