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	0.3608	8.28***
β GARCH Volatility persistence	0.6365	106.43***
γ leverage Additional response to negative shocks	-0.0267	-0.32
λ₁ tau intercept Baseline long-term coefficient	0.6829	16.50***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.02
λ₃ tau persistence Long-term factor persistence	0.9930	904.38***

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Zhejiang Century Huatong Group Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Zhejiang Century Huatong Group Co Ltd Analyses