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	1.9238	2.18**
α ARCH Response to squared shocks	0.0697	18.71***
β GARCH Volatility persistence	0.9156	460.34***
γ leverage Additional response to negative shocks	0.0293	4.30***

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Sugimura Warehouse Co Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Sugimura Warehouse Co Ltd Analyses