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	21
α ARCH Response to squared shocks	0.2133	0.01
β GARCH Volatility persistence	0.6382	1.72*
γ leverage Additional response to negative shocks	0.0074	0.00
λ₁ tau intercept Baseline long-term coefficient	8.6370	0.01
λ₂ forecast adj. Forecast performance sensitivity	0.2196	0.01
λ₃ tau persistence Long-term factor persistence	0.7804	0.37

V-Lab

Right Way Industrial Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Right Way Industrial Co Ltd Analyses