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	116
α ARCH Response to squared shocks	0.2155	1.77*
β GARCH Volatility persistence	0.7908	139.65***
γ leverage Additional response to negative shocks	-0.0286	-0.12
λ₁ tau intercept Baseline long-term coefficient	0.6259	3.62***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.9971	311.70***

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Guizhou Qianyuan Power Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Guizhou Qianyuan Power Co Ltd Analyses