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	116
α ARCH Response to squared shocks	0.1651	0.41
β GARCH Volatility persistence	0.8514	158.82***
γ leverage Additional response to negative shocks	-0.1651	-0.42
λ₁ tau intercept Baseline long-term coefficient	9.8108	0.48
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.4369	2.18**

V-Lab

Kogi Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Kogi Corp Analyses