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	1.3946	5.86***
α ARCH Response to squared shocks	0.1580	11.49***
β GARCH Volatility persistence	0.8156	57.49***

γ₁	0.1347	2.46**
γ₂	-0.3127	-3.64***
γ₃	0.3651	5.95***
γ₄	-0.3105	-4.62***
γ₅	0.1533	1.42

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Sougou Shouken Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Sougou Shouken Co Ltd Analyses