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	56
α ARCH Response to squared shocks	0.1113	0.12
β GARCH Volatility persistence	0.8622	28.90***
γ leverage Additional response to negative shocks	-0.1113	-0.06
λ₁ tau intercept Baseline long-term coefficient	2.9161	0.16
λ₂ forecast adj. Forecast performance sensitivity	0.0861	0.17
λ₃ tau persistence Long-term factor persistence	0.9139	4.79***

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Kawagishi Bridge Wks Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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