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	36
α ARCH Response to squared shocks	0.0952	0.72
β GARCH Volatility persistence	0.7903	37.61***
γ leverage Additional response to negative shocks	-0.0952	-0.33
λ₁ tau intercept Baseline long-term coefficient	10.0000	1.27
λ₂ forecast adj. Forecast performance sensitivity	0.3059	2.39**
λ₃ tau persistence Long-term factor persistence	0.6916	2.24**

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Tong Ren Tang Tech Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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