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	41
α ARCH Response to squared shocks	0.1568	0.09
β GARCH Volatility persistence	0.6939	16.71***
γ leverage Additional response to negative shocks	-0.1568	-0.05
λ₁ tau intercept Baseline long-term coefficient	1.2127	0.12
λ₂ forecast adj. Forecast performance sensitivity	0.6441	0.14
λ₃ tau persistence Long-term factor persistence	0.3559	0.16

V-Lab

Futaba Industrial Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Futaba Industrial Co Ltd Analyses