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	46
α ARCH Response to squared shocks	0.1044	0.53
β GARCH Volatility persistence	0.8153	87.90***
γ leverage Additional response to negative shocks	-0.1044	-0.26
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.83
λ₂ forecast adj. Forecast performance sensitivity	0.5142	1.38
λ₃ tau persistence Long-term factor persistence	0.4858	0.80

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Nankai Plywood Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Nankai Plywood Co Ltd Analyses