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	0.1651	0.36
β GARCH Volatility persistence	0.7529	50.60***
γ leverage Additional response to negative shocks	-0.1572	-0.17
λ₁ tau intercept Baseline long-term coefficient	9.9973	0.40
λ₂ forecast adj. Forecast performance sensitivity	0.1264	0.40
λ₃ tau persistence Long-term factor persistence	0.8736	19.36***

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Nippon Shindo Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Nippon Shindo Co Ltd Analyses