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	0.1341	0.12
β GARCH Volatility persistence	0.7859	13.54***
γ leverage Additional response to negative shocks	-0.1341	-0.06
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.22
λ₂ forecast adj. Forecast performance sensitivity	0.2971	0.27
λ₃ tau persistence Long-term factor persistence	0.6970	0.49

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Tainan Enterprises Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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