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	126
α ARCH Response to squared shocks	0.1578	1.00
β GARCH Volatility persistence	0.8606	387.32***
γ leverage Additional response to negative shocks	-0.1578	-1.25
λ₁ tau intercept Baseline long-term coefficient	0.0997	1.49
λ₂ forecast adj. Forecast performance sensitivity	0.0835	1.47
λ₃ tau persistence Long-term factor persistence	0.6767	6.15***

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Jorudan Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Jorudan Co Ltd Analyses