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	3.9425	1.30
α ARCH Response to squared shocks	0.1148	9.97***
β GARCH Volatility persistence	0.8846	77.20***

γ₁	0.7517	3.12***
γ₂	-0.9655	-2.60***
γ₃	0.0153	0.04
γ₄	0.6718	1.80*
γ₅	-1.7639	-4.14***
γ₆	3.1130	6.07***
γ₇	-2.6807	-5.92***
γ₈	0.7342	1.62
γ₉	-0.9414	-0.54
γ₁₀	4.4441	1.35

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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