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	0.6518	4.15***
α ARCH Response to squared shocks	0.1407	12.58***
β GARCH Volatility persistence	0.8427	70.51***

γ₁	-0.3514	-7.78***
γ₂	0.5838	7.92***
γ₃	-0.4110	-6.22***
γ₄	0.2202	3.43***
γ₅	0.0438	0.68
γ₆	-0.3238	-3.83***

V-Lab

Yutaka Trusty Securities Co Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Yutaka Trusty Securities Co Analyses