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	0.1612	8.21***
β GARCH Volatility persistence	0.8616	356.60***
γ leverage Additional response to negative shocks	-0.0597	-1.85*
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0017	15.35***
λ₃ tau persistence Long-term factor persistence	0.9971	2,941.23***

V-Lab

Nichidai Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Nichidai Corp Analyses