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	66
α ARCH Response to squared shocks	0.4910	0.02
β GARCH Volatility persistence	0.5147	19.52***
γ leverage Additional response to negative shocks	-0.4910	-0.01
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.02
λ₂ forecast adj. Forecast performance sensitivity	0.0337	0.02
λ₃ tau persistence Long-term factor persistence	0.9470	1.57

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Ningxia Western Venture Industrial Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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