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	21
α ARCH Response to squared shocks	0.1998	0.09
β GARCH Volatility persistence	0.6628	42.15***
γ leverage Additional response to negative shocks	-0.1548	-0.03
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.09
λ₂ forecast adj. Forecast performance sensitivity	0.0847	0.09
λ₃ tau persistence Long-term factor persistence	0.9153	14.22***

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Nippon Info DEV Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Nippon Info DEV Co Ltd Analyses