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	26
α ARCH Response to squared shocks	0.1330	0.29
β GARCH Volatility persistence	0.7955	107.86***
γ leverage Additional response to negative shocks	-0.1130	-0.12
λ₁ tau intercept Baseline long-term coefficient	1.1675	0.48
λ₂ forecast adj. Forecast performance sensitivity	0.6798	0.51
λ₃ tau persistence Long-term factor persistence	0.3170	0.32

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Press Kogyo Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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