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	0.9289	5.12***
α ARCH Response to squared shocks	0.1687	13.61***
β GARCH Volatility persistence	0.8253	66.12***

γ₁	-0.1341	-5.71***
γ₂	0.1902	5.17***
γ₃	-0.0242	-0.72

V-Lab

Yamashita Health Care Hldgs Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Yamashita Health Care Hldgs Analyses