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	2.9499	6.23***
α ARCH Response to squared shocks	0.0795	22.82***
β GARCH Volatility persistence	0.8899	581.65***
γ leverage Additional response to negative shocks	0.0612	11.19***

V-Lab

Bitcoin Japan Corp Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Bitcoin Japan Corp Analyses