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	0.1781	0.07
β GARCH Volatility persistence	0.7277	6.12***
γ leverage Additional response to negative shocks	-0.1781	-0.03
λ₁ tau intercept Baseline long-term coefficient	4.3321	0.09
λ₂ forecast adj. Forecast performance sensitivity	0.1076	0.09
λ₃ tau persistence Long-term factor persistence	0.8924	2.87***

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Tokyo Ichiban Foods Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Tokyo Ichiban Foods Co Ltd Analyses