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	121
α ARCH Response to squared shocks	0.2765	4.21***
β GARCH Volatility persistence	0.7084	223.48***
γ leverage Additional response to negative shocks	-0.2765	-2.47**
λ₁ tau intercept Baseline long-term coefficient	10.0000	5.49***
λ₂ forecast adj. Forecast performance sensitivity	0.0003	3.31***
λ₃ tau persistence Long-term factor persistence	0.8527	121.05***

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Zhejiang Fuchunjiang Environmental Thermoelectric Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Zhejiang Fuchunjiang Environmental Thermoelectric Co Ltd Analyses