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	0.1331	0.39
β GARCH Volatility persistence	0.7950	73.89***
γ leverage Additional response to negative shocks	-0.0252	-0.04
λ₁ tau intercept Baseline long-term coefficient	1.7854	0.69
λ₂ forecast adj. Forecast performance sensitivity	0.6750	0.76
λ₃ tau persistence Long-term factor persistence	0.3216	0.38

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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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