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	111
α ARCH Response to squared shocks	0.1101	1.71*
β GARCH Volatility persistence	0.8946	369.99***
γ leverage Additional response to negative shocks	-0.0449	-0.37
λ₁ tau intercept Baseline long-term coefficient	3.4491	4.07***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.9987	307.29***

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Kyowa Engineering Consultants Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Kyowa Engineering Consultants Co Ltd Analyses