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	1.4588	14.22***
α ARCH Response to squared shocks	0.0510	11.22***
β GARCH Volatility persistence	0.9374	459.98***
γ leverage Additional response to negative shocks	0.0231	3.16***

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Asahimas Flat Glass Co Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Asahimas Flat Glass Co Ltd Analyses