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	126
α ARCH Response to squared shocks	0.1747	6.45***
β GARCH Volatility persistence	0.8600	134.55***
γ leverage Additional response to negative shocks	-0.1747	-6.92***
λ₁ tau intercept Baseline long-term coefficient	0.0036	8.41***
λ₂ forecast adj. Forecast performance sensitivity	0.0056	6.97***
λ₃ tau persistence Long-term factor persistence	0.8816	186.94***

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Hatch Work Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Hatch Work Co Ltd Analyses