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	96
α ARCH Response to squared shocks	0.2613	4.28***
β GARCH Volatility persistence	0.7448	235.40***
γ leverage Additional response to negative shocks	-0.2613	-2.80***
λ₁ tau intercept Baseline long-term coefficient	2.3629	40.23***
λ₂ forecast adj. Forecast performance sensitivity	0.0068	7.59***
λ₃ tau persistence Long-term factor persistence	0.9709	141.55***

V-Lab

Nagaoka International Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Nagaoka International Corp Analyses