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	0.4507	3.46***
α ARCH Response to squared shocks	0.1160	10.35***
β GARCH Volatility persistence	0.8528	61.22***

γ₁	0.1805	2.43**
γ₂	-0.5086	-4.96***
γ₃	0.6367	12.53***
γ₄	-0.5094	-11.11***
γ₅	0.2506	4.96***
γ₆	0.0183	0.36
γ₇	-0.2654	-4.09***

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Fujicopian Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Fujicopian Co Ltd Analyses