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	0.1320	0.03
β GARCH Volatility persistence	0.7995	4.78***
γ leverage Additional response to negative shocks	-0.1279	-0.01
λ₁ tau intercept Baseline long-term coefficient	9.8706	0.03
λ₂ forecast adj. Forecast performance sensitivity	0.1738	0.04
λ₃ tau persistence Long-term factor persistence	0.8262	0.56

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Hsing Ta Cement Co ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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