How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.1526	4.22***
β GARCH Volatility persistence	0.8468	331.83***
γ leverage Additional response to negative shocks	-0.1526	-2.57**
λ₁ tau intercept Baseline long-term coefficient	0.1118	8.63***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.01
λ₃ tau persistence Long-term factor persistence	0.9972	632.36***

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Yulon Nissan Motor Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Yulon Nissan Motor Co Ltd Analyses