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	1.1717	3.45***
α ARCH Response to squared shocks	0.1037	11.19***
β GARCH Volatility persistence	0.8921	102.19***

γ₁	-0.0297	-5.77***
γ₂	0.0585	6.53***

V-Lab

Seven Industries Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Seven Industries Co Ltd Analyses