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	1.0480	3.68***
α ARCH Response to squared shocks	0.1002	9.84***
β GARCH Volatility persistence	0.8660	59.58***

γ₁	-0.8859	-6.73***
γ₂	1.5334	8.04***
γ₃	-1.0714	-7.09***
γ₄	0.5887	4.33***
γ₅	-0.1819	-1.32
γ₆	0.0259	0.18
γ₇	-0.0042	-0.03
γ₈	-0.1705	-1.04

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Nankai Plywood Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Nankai Plywood Co Ltd Analyses