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	1.4325	3.91***
α ARCH Response to squared shocks	0.1537	14.95***
β GARCH Volatility persistence	0.8436	84.90***

γ₁	0.0347	0.19
γ₂	-0.3481	-1.48
γ₃	0.6776	6.88***
γ₄	-0.5769	-6.23***
γ₅	0.1514	1.60
γ₆	0.2905	3.02***
γ₇	-0.2624	-2.16**
γ₈	-0.5023	-2.69***

V-Lab

Bitcoin Japan Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Bitcoin Japan Corp Analyses