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	0.3615	0.28
β GARCH Volatility persistence	0.6288	88.46***
γ leverage Additional response to negative shocks	-0.3615	-0.13
λ₁ tau intercept Baseline long-term coefficient	7.6870	0.42
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.9940	48.83***

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Fujian SBS Zipper Science & Technology Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

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