How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.1454	290.29***
β GARCH Volatility persistence	0.9273	3,552.81***
γ leverage Additional response to negative shocks	-0.1454	-153.25***
λ₁ tau intercept Baseline long-term coefficient	2,511.4300

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Tsuji Hongo IT Consulting Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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