How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.4305	13.98***
β GARCH Volatility persistence	0.7847	69.28***
γ leverage Additional response to negative shocks	-0.4305	-8.68***
λ₁ tau intercept Baseline long-term coefficient	15,500,580.0000

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Shenzhen Zhongheng Huafa Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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