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	0.7591	0.25
α ARCH Response to squared shocks	0.1551	0.04
β GARCH Volatility persistence	0.8449	0.19

γ₁	-0.0967	-0.43
γ₂	0.1364	0.41

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Sakai Holdings Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Sakai Holdings Co Ltd Analyses