How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.1297	0.36
β GARCH Volatility persistence	0.7373	18.35***
γ leverage Additional response to negative shocks	0.1300	0.19
λ₁ tau intercept Baseline long-term coefficient	0.1153	0.55
λ₂ forecast adj. Forecast performance sensitivity	0.7480	0.83
λ₃ tau persistence Long-term factor persistence	0.2520	0.20

V-Lab

NH Investment & Securities Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other NH Investment & Securities Co Ltd Analyses