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	111
α ARCH Response to squared shocks	0.3824	0.20
β GARCH Volatility persistence	0.4376	4.59***
γ leverage Additional response to negative shocks	-0.3824	-0.10
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.31
λ₂ forecast adj. Forecast performance sensitivity	0.0717	0.27
λ₃ tau persistence Long-term factor persistence	0.9283	9.67***

V-Lab

Tianjin Cap Envmntl Protn ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Tianjin Cap Envmntl Protn Analyses