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	41
α ARCH Response to squared shocks	0.2914	10.20***
β GARCH Volatility persistence	0.7076	239.62***
γ leverage Additional response to negative shocks	-0.0297	-0.48
λ₁ tau intercept Baseline long-term coefficient	2.3561	21.25***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.01
λ₃ tau persistence Long-term factor persistence	0.9957	1,049.21***

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ZhongYeDa Electric Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other ZhongYeDa Electric Co Ltd Analyses