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	1.2066	4.39***
α ARCH Response to squared shocks	0.0856	7.12***
β GARCH Volatility persistence	0.9084	69.19***

V-Lab

Tomita Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Tomita Co Ltd Analyses