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	36
α ARCH Response to squared shocks	0.1540	0.28
β GARCH Volatility persistence	0.7157	44.11***
γ leverage Additional response to negative shocks	-0.1540	-0.14
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.33
λ₂ forecast adj. Forecast performance sensitivity	0.0896	0.32
λ₃ tau persistence Long-term factor persistence	0.9104	20.37***

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Nikki Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Nikki Co Ltd Analyses