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	31
α ARCH Response to squared shocks	0.1653	5.00***
β GARCH Volatility persistence	0.7721	33.44***
γ leverage Additional response to negative shocks	-0.1653	-3.24***
λ₁ tau intercept Baseline long-term coefficient	3.6630	0.61
λ₂ forecast adj. Forecast performance sensitivity	0.9986	7.16***
λ₃ tau persistence Long-term factor persistence	0.0014	0.46

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Daewon Sanup Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Daewon Sanup Co Ltd Analyses