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Kozuki and Amatsuki are siblings
Kozuki and Amatsuki dress and look very similar to each other. Many areas, events and endings show that they are connected to each other, although how exactly is left unclear in the game.
One area in Amatsuki's dreams is what seems to be Kozuki's house where she lives with another woman (maybe their mother/some other relative). This would suggest that Amatsuki lived with Kozuki before finding his own house. Alternatively, Amatsuki had already moved out before/after Kozuki was born but still frequently visited her.
Amatsuki and Kozuki are Father and Daughter
What if Amatsuki and Kozuki actually father and daughter, here some proofs, Amatsuki and Kozuki have same color hair, almost same clothes, Bionin (woman in Kozuki's house in Amatsuki's Dream World) actually different in appearance from Amatsuki and Kozuki and she looks like adult or even have same age like Amatsuki, about ages, aproximately age of Amatsuki is 23 while Kozuki is 7, judging by events, chasers and dream worlds Amatsuki beem awful father, Bionin's demise made everything even worse, Amatsuki became melancholic and lost will to live, in last true end he decides end his life, but to not make Kozuki orphan he killing her first.