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	121
α ARCH Response to squared shocks	0.1236	6.30***
β GARCH Volatility persistence	0.8871	361.78***
γ leverage Additional response to negative shocks	-0.0397	-1.02
λ₁ tau intercept Baseline long-term coefficient	3.0308	26.95***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.02
λ₃ tau persistence Long-term factor persistence	0.9988	1,406.82***

V-Lab

Akasaka Diesels Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Akasaka Diesels Ltd Analyses