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	96
α ARCH Response to squared shocks	0.2087	3.21***
β GARCH Volatility persistence	0.7472	83.82***
γ leverage Additional response to negative shocks	-0.2087	-1.96**
λ₁ tau intercept Baseline long-term coefficient	0.1732	8.15***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.01
λ₃ tau persistence Long-term factor persistence	0.9958	439.26***

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Hubei W-OLF Photoelectric Technology Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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