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	0.2730	8.95***
β GARCH Volatility persistence	0.7316	284.11***
γ leverage Additional response to negative shocks	-0.2730	-4.83***
λ₁ tau intercept Baseline long-term coefficient	0.2294	34.27***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.01
λ₃ tau persistence Long-term factor persistence	0.9942	858.58***

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Shanghai Hi-Tech Control System Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Shanghai Hi-Tech Control System Co Ltd Analyses