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	61
α ARCH Response to squared shocks	0.1217	0.75
β GARCH Volatility persistence	0.7615	21.66***
γ leverage Additional response to negative shocks	-0.1217	-0.35
λ₁ tau intercept Baseline long-term coefficient	10.0000	1.39
λ₂ forecast adj. Forecast performance sensitivity	0.1320	5.71***
λ₃ tau persistence Long-term factor persistence	0.8680	4.81***

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Harima-Kyowa Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Harima-Kyowa Co Ltd Analyses