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	0.1641	0.22
β GARCH Volatility persistence	0.6872	47.35***
γ leverage Additional response to negative shocks	-0.1641	-0.11
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.24
λ₂ forecast adj. Forecast performance sensitivity	0.0736	0.24
λ₃ tau persistence Long-term factor persistence	0.9264	39.02***

V-Lab

Sanko Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Sanko Co Ltd Analyses