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	0.1457	0.08
β GARCH Volatility persistence	0.7876	11.54***
γ leverage Additional response to negative shocks	-0.1457	-0.04
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.09
λ₂ forecast adj. Forecast performance sensitivity	0.0835	0.09
λ₃ tau persistence Long-term factor persistence	0.9165	5.53***

V-Lab

Yutaka Trusty Securities Co ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Yutaka Trusty Securities Co Analyses