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	26
α ARCH Response to squared shocks	0.1305	0.04
β GARCH Volatility persistence	0.7288	7.20***
γ leverage Additional response to negative shocks	-0.1305	-0.02
λ₁ tau intercept Baseline long-term coefficient	6.7008	0.04
λ₂ forecast adj. Forecast performance sensitivity	0.0661	0.05
λ₃ tau persistence Long-term factor persistence	0.9339	5.05***

V-Lab

Kawasaki Setsubi Kogyo Co ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Kawasaki Setsubi Kogyo Co Analyses