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	3.6775	1.22
α ARCH Response to squared shocks	0.0929	6.84***
β GARCH Volatility persistence	0.9064	66.84***

γ₁	0.8653	3.77***
γ₂	-1.0866	-2.70***
γ₃	-0.0083	-0.02
γ₄	0.7296	1.75*
γ₅	-1.7826	-4.00***
γ₆	3.0443	5.86***
γ₇	-2.5404	-5.51***
γ₈	0.4423	1.24
γ₉	0.6563	1.49
γ₁₀	-0.0297	-0.03

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Asahimas Flat Glass Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Asahimas Flat Glass Co Ltd Analyses