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	46
α ARCH Response to squared shocks	0.1485	0.51
β GARCH Volatility persistence	0.7857	93.24***
γ leverage Additional response to negative shocks	-0.1485	-0.25
λ₁ tau intercept Baseline long-term coefficient	8.6009	0.71
λ₂ forecast adj. Forecast performance sensitivity	0.0440	0.67
λ₃ tau persistence Long-term factor persistence	0.9544	43.56***

V-Lab

Yutaka Foods Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Yutaka Foods Corp Analyses