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	86
α ARCH Response to squared shocks	0.1526	0.40
β GARCH Volatility persistence	0.8699	192.71***
γ leverage Additional response to negative shocks	-0.1526	-0.34
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.46
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.04
λ₃ tau persistence Long-term factor persistence	0.6508	4.96***

V-Lab

Bitcoin Japan Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Bitcoin Japan Corp Analyses