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	0.2849	3.68***
α ARCH Response to squared shocks	0.1785	3.50***
β GARCH Volatility persistence	0.7302	11.95***

γ₁	0.5521	3.24***
γ₂	-1.1787	-3.87***

V-Lab

Project Holdings Inc /Japan Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Project Holdings Inc /Japan Analyses