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	0.1205	5.82***
β GARCH Volatility persistence	0.8920	469.74***
γ leverage Additional response to negative shocks	-0.0316	-0.80
λ₁ tau intercept Baseline long-term coefficient	1.4793	1.57
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.01
λ₃ tau persistence Long-term factor persistence	0.9995	1,221.92***

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Kyoritsu Air Tech Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Kyoritsu Air Tech Inc Analyses