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	2.2101	5.36***
α ARCH Response to squared shocks	0.1036	10.45***
β GARCH Volatility persistence	0.8904	95.58***

γ₁	-0.0981	-5.31***
γ₂	0.2365	6.25***

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Sugimura Warehouse Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Sugimura Warehouse Co Ltd Analyses