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	0.1108	0.32
β GARCH Volatility persistence	0.7698	52.03***
γ leverage Additional response to negative shocks	-0.1108	-0.16
λ₁ tau intercept Baseline long-term coefficient	0.1035	0.37
λ₂ forecast adj. Forecast performance sensitivity	0.0444	0.37
λ₃ tau persistence Long-term factor persistence	0.9539	54.11***

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Kissei Pharmaceutical Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Kissei Pharmaceutical Co Ltd Analyses