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	1.0818	3.97***
α ARCH Response to squared shocks	0.1162	13.19***
β GARCH Volatility persistence	0.8831	98.81***

γ₁	-0.2527	-5.52***
γ₂	0.3714	5.47***
γ₃	-0.1421	-3.45***
γ₄	-0.0248	-0.50

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Kyowa Engineering Consultants Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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