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	21
α ARCH Response to squared shocks	0.1023	0.51
β GARCH Volatility persistence	0.8097	13.65***
γ leverage Additional response to negative shocks	0.1516	0.50
λ₁ tau intercept Baseline long-term coefficient	3.1037	0.88
λ₂ forecast adj. Forecast performance sensitivity	0.2899	3.08***
λ₃ tau persistence Long-term factor persistence	0.7101	1.23

V-Lab

Hosiden Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Hosiden Corp Analyses