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	126
α ARCH Response to squared shocks	0.2831	2.16**
β GARCH Volatility persistence	0.7452	199.09***
γ leverage Additional response to negative shocks	-0.0659	-0.25
λ₁ tau intercept Baseline long-term coefficient	7.2831	3.09***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.02
λ₃ tau persistence Long-term factor persistence	0.9966	1,071.58***

V-Lab

Hongmian Zhihui Science And Technology Innovation Co Ltd Guangzhou ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Hongmian Zhihui Science And Technology Innovation Co Ltd Guangzhou Analyses